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Asymmetric Information and Volatility Forecasting in Commodity Futures Markets

Liu, Qingfu; Wong, Ieokhou; An, Yunbi; Zhang, Jinqing - In: Pacific-Basin Finance Journal 26 (2014) C, pp. 79-97

This paper investigates the asymmetric characteristics of returns and volatilities of various Chinese commodity futures within the threshold stochastic volatility (THSV) framework with various distribution assumptions. To gauge the capabilities of THSV models in volatility forecasting, the...

Persistent link: https://www.econbiz.de/10010753126