Volatility forecasting of non-ferrous metal futures : covariances, covariates or combinations?
Štefan Lyócsa, Peter Molnár, Neda Todorova
| Year of publication: |
November 2017
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| Authors: | Lyócsa, Štefan ; Molnár, Peter ; Todorova, Neda |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 51.2017, p. 228-247
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| Subject: | Industrial metals | LME futures market | Volatility forecasting | Multivariate HAR | Volatility spillovers | Bayesian model averaging | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Korrelation | Correlation | ARCH-Modell | ARCH model | Derivat | Derivative | Warenbörse | Commodity exchange | Metallmarkt | Metal market | NE-Metall | Non-ferrous metal | Multivariate Analyse | Multivariate analysis | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2017.08.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011896310