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Convenience yield, realised volatility and jumps : evidence from non-ferrous metals

Omura, Akihiro; Li, Bin; Chung, Richard; Todorova, Neda - In: Economic modelling 70 (2018), pp. 496-510

Persistent link: https://www.econbiz.de/10012027980

Trading on mean-reversion in energy futures markets

Lubnau, Thorben; Todorova, Neda - In: Energy economics 51 (2015), pp. 312-319

Persistent link: https://www.econbiz.de/10011564855

On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks

Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; … - In: Energy economics 89 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012517048

Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets

Jiang, Huayun; Todorova, Neda; Roca, Eduardo; Su, Jen-je - In: Applied economics 49 (2017) 34/36, pp. 3435-3452

Persistent link: https://www.econbiz.de/10011774968

Volatility forecasting of non-ferrous metal futures : covariances, covariates or combinations?

Lyócsa, Štefan; Molnár, Peter; Todorova, Neda - In: Journal of international financial markets, … 51 (2017), pp. 228-247

Persistent link: https://www.econbiz.de/10011896310

Volatility Forecasting of Non-Ferrous Metal Futures : Covariances, Covariates or Combinations?

Lyocsa, Stefan - 2017

This is the first comprehensive study on the forecasting of the realized volatility of non-ferrous metal futures. Based on 8.5 years of intraday data on copper, zinc, nickel, lead and aluminum, we explore a variety of extensions of the univariate heterogeneous autoregressive (HAR) model and seek...

Persistent link: https://www.econbiz.de/10012947354