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Volatility in the gold futures market
Batten, Jonathan Andrew; Lucey, Brian M. - In: Applied economics letters 17 (2010) 1/3, pp. 187-190
Persistent link: https://www.econbiz.de/10003946265
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Volatility spillover and hedging strategies among Chinese carbon, energy, and electricity markets
Wang, Yong; Liu, Shimiao; Abedin, Mohammad Zoynul; … - In: Journal of international financial markets, … 91 (2024), pp. 1-20
Persistent link: https://www.econbiz.de/10014494792
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Return and Volatility Spillovers in Industrial Metals
Lucey, Brian M. - 2013
particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over … a 20 year period, showing the evolution of volatility spillovers and identifying the source of same …
Persistent link: https://www.econbiz.de/10013071939
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Stylized Facts of Intraday Precious Metal Returns
Batten, Jonathan A. - 2016
examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency of gold …, volatility, volume and bid-ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and … bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples …
Persistent link: https://www.econbiz.de/10012999879
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Deteriorating Complexity in Gold Returns : Evidence from the Compass Rose
Batten, Jonathan A. - 2017
The compass rose pattern in financial data may indicate the presence of a nonlinear, possibly chaotic, data generating mechanism. Analysis reveals that over four equivalent subperiods, from 1996 to 2015, the compass rose pattern in gold returns fades. This feature provides an opportunity to...
Persistent link: https://www.econbiz.de/10012961792
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Skewness and asymmetry in futures returns and volumes
Eastman, Alexander M.; Lucey, Brian M. - In: Applied financial economics 18 (2008) 10/12, pp. 777-800
Persistent link: https://www.econbiz.de/10003739442
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The forward exchange rate bias puzzle is persistent : evidence from stochastic and nonparametric cointegration tests
Aggarwal, Raj; Lucey, Brian M.; Mohanty, Sunil - In: The financial review : the official publication of the … 44 (2009) 4, pp. 625-645
Persistent link: https://www.econbiz.de/10003899958
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Skewness and Asymmetry in Futures Returns and Volumes
Lucey, Brian M. - 2009
In this paper we investigate the distribution of futures market returns and volumes. A variety of contracts are selected from agriculture, foreign exchange, industrial, equity, and interest rate market sectors. Daily closing prices and volumes are used to construct two series of data...
Persistent link: https://www.econbiz.de/10012721705
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Who Sets the Price of Gold? London or New York?
Hauptfleisch, Martin - 2016
We investigate which of the two main centers of gold trading — the London spot market and the New York futures market — plays a more important role in setting the price of gold. Using intraday data during a 17-year period we find that although both markets contribute to price discovery, the...
Persistent link: https://www.econbiz.de/10013004735
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Behavioral Influences in Non-Ferrous Metals Prices
Cummins, Mark - 2014
Recent research has identified the presence of behavioral influences on traders in predominantly professionally traded markets such as oil, gold, and foreign exchange. Previous research had largely confined behavioral-based investigations to equity markets due to an assumption that noise traders...
Persistent link: https://www.econbiz.de/10013044102