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Speculation, hedging and volatility in the coffee market, 1993 - 96

Gilbert, Christopher L.; Brunetti, Celso - 1996

Persistent link: https://www.econbiz.de/10000958937

Metals price volatility, 1972 - 95

Brunetti, Celso - In: Resources policy 21 (1995) 4, pp. 237-254

Persistent link: https://www.econbiz.de/10001206934

Bivariate FIGARCH and fractional cointegration

Brunetti, Celso; Gilbert, Christopher L. - In: Journal of empirical finance 7 (2000) 5, pp. 509-530

Persistent link: https://www.econbiz.de/10001545286

Bivariate FIGARCH and fractional cointegration

Brunetti, Celso; Gilbert, Christopher L. - 1999

Persistent link: https://www.econbiz.de/10001442266

HARMLESS SPECULATION - Speculation by funds does not increase volatility in the metals markets.

Gilbert, Christopher; Brunetti, Celso - In: Risk : managing risk in the world's financial markets 9 (1996) 5, pp. 56-60

Persistent link: https://www.econbiz.de/10007078318

Metals price volatility, 1972-1995

Brunetti, Celso; Gilbert, Christopher L. - In: Resources Policy 21 (1995) 4, pp. 237-254

Persistent link: https://www.econbiz.de/10005349505

Bivariate FIGARCH and fractional cointegration

Brunetti, Celso; Gilbert, Christopher L. - In: Journal of Empirical Finance 7 (2000) 5, pp. 509-530

Persistent link: https://www.econbiz.de/10005194291

Bivariate FIGARCH and Fractional Cointegration

Brunetti, Celso; Gilbert, Christopher L. - School of Economics and Finance, Queen Mary - 1999

We consider the modelling of volatility on closely related markets. Univariate fractional volatility (FIGARCH) models are now standard, as are multivariate GARCH models. In this paper we adopt a combination of the two methodologies. There is as yet little consensus on the methodology for testing...

Persistent link: https://www.econbiz.de/10005101777

Non-ferrous metals price volatility : a fractionally integrated process?

Teyssiere, Gilles P.; Gilbert, Christopher L.; … - 1996

Persistent link: https://www.econbiz.de/10000619201

Speculation, hedging and volatility in the coffee market, 1993-96

Gilbert, Christopher L.; Brunetti, Celso - 1997

Persistent link: https://www.econbiz.de/10000619480