In this study we examine three widely used realized correlation estimators for natural gas, gasoil, and crude oil futures using data from IntercontinentalExchange (ICE). The objective is to illustrate sensitivities of estimation methods on the resulting realized correlation estimates. The...

This paper examines gold's hedging and value-preserving properties against fluctuations in the US dollar. We propose a likelihood ratio test that draws a distinction between hedging and safe-haven characteristics on the basis of the conditional dependence structure under different market...

I consider a bivariate stationary fractional cointegration system and I propose a quasi-maximum likelihood estimator based on the Whittle analysis of the joint spectral density of the regressor and errors. This allows to estimate jointly all parameters of interest of the model. I lead a Monte...

This paper investigates the long-run links between stock markets of the Gulf Cooperation Countries (GCC) and three global factors, including oil price, MSCI (Morgan Stanley Capital International) world index and US interest rate. Unlike previous empirical works, we employ econometric techniques...

This paper examines the dynamics of volatility transmission between EU emission allowances (EUA) and oil markets using a range-based volatility measure. We propose a multivariate conditional autoregressive range model with bivariate lognormal distribution to capture volatility dynamics and...

In this paper, we advocate the search frequency of stock name in Baidu Index as a novel and direct proxy for investor attention. Firstly, empirical results show that the quantified investor attention is a desired explanatory variable for abnormal return even trading volume is considered....

We propose and implement an empirical automatic bias correction (ABC) procedure for correcting the downward bias in the volatility estimators that utilize extreme value of asset prices. The bias originates from the random walk effect. The proposed estimator does not require knowledge of N, the...

In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the Chinese stock market we follow the methodology introduced by Engle et al. (2009) and Engle and Rangel (2008) to account for the effects of macro fundamentals, and augment it with...

In this paper, we derive a reflection principle for a random walk with the symmetric double exponential distribution. This allows us to come up with the closed form solution for the joint probability of the running maximum and the terminal value of the random walk. Based on this new theoretical...

We employ a large dataset of physical inventory data on 21 different commodities for the period 1993–2011 to empirically analyze the behavior of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we analyze the relationship between...