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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets

Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014

In this paper we apply the recently developed fractionally cointegrated vector autoregressive (FCVAR) model to analyze price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The FCVAR model allows for long memory (fractional...

Persistent link: https://www.econbiz.de/10010381431

A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets

Dolatabadi, Sepideh - 2017

In this paper, we apply the recently developed fractionally cointegrated vector autoregressive (FCVAR) model to analyze price discovery in the spot and futures markets for five non-ferrous metals (aluminum, copper, lead, nickel, and zinc). The FCVAR model allows for long memory (fractional...

Persistent link: https://www.econbiz.de/10012946789

DM-dollar volatility : intraday activity patterns, macroeconomic announcements, and longer run dependencies

Andersen, Torben; Bollerslev, Tim - 1996

Persistent link: https://www.econbiz.de/10000609240

Realized return volatility, asset pricing, and risk management

Andersen, Torben; Bollerslev, Tim - In: NBER reporter online (2006/2007) 3, pp. 7-10

Persistent link: https://www.econbiz.de/10011366975

Short-term market risks implied by weekly options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2018

Persistent link: https://www.econbiz.de/10011797670

Reflecting on the VPIN dispute

Andersen, Torben; Bondarenko, Oleg - In: Journal of financial markets 17 (2014), pp. 53-64

Persistent link: https://www.econbiz.de/10010436245

VPIN and the flash crash

Andersen, Torben; Bondarenko, Oleg; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 1-46

Persistent link: https://www.econbiz.de/10010436257

Modeling and forecasting realized volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 579-625

Persistent link: https://www.econbiz.de/10001750369

Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001899970

An empirical investigation of continuous-time equity return models

Andersen, Torben; Benzoni, Luca; Lund, Jesper - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1239-1284

Persistent link: https://www.econbiz.de/10001684993