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Herding, information cascades and volatility spillovers in futures markets

McAleer, Michael; Radalj, Kim - 2013

Persistent link: https://www.econbiz.de/10009784945

Long-run reversal in commodity returns : insights from seven centuries of evidence

Zaremba, Adam; Bianchi, Robert; Mikutowski, Mateusz - In: Journal of banking & finance 133 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10013256444

Cross-asset time-series momentum : crude oil volatility and global stock markets

Fernandez-Perez, Adrian; Indriawan, Ivan; Tse, Yiuman; … - In: Journal of banking & finance 154 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014492117

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289

The dependence structure between carbon emission allowances and financial markets : a copula analysis

Gronwald, Marc; Ketterer, Janina; Trück, Stefan - 2011

during the period of the financial crisis. In a Value-at-Risk (VaR) analysis, finally, we further illustrate the advantages … of copula methods. In particular the Student-t copula provides an appropriate quantification of VaR at different …

Persistent link: https://www.econbiz.de/10009011778

Combining momentum with reversal in commodity futures

Bianchi, Robert; Drew, Michael E.; Fan, John Hua - In: Journal of banking & finance 59 (2015), pp. 423-444

Persistent link: https://www.econbiz.de/10011544644

Exploiting commodity momentum along the futures curves

Groot, Wilma de; Karstanje, Dennis; Zhou, Weili - In: Journal of banking & finance 48 (2014), pp. 79-93

Persistent link: https://www.econbiz.de/10010506936

Commodity and equity markets : some stylized facts from a copula approach

Delatte, Anne-Laure; Lopez, Claude - In: Journal of banking & finance 37 (2013) 12, pp. 5346-5356

Persistent link: https://www.econbiz.de/10010343717

Investable commodity premia in China

Bianchi, Robert; Fan, John Hua; Zhang, Tingxi - In: Journal of banking & finance 127 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012820586

Determinants and predictability of commodity producer returns

Wang, Qiao; Balvers, Ronald J. - In: Journal of banking & finance 133 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013256637

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