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Predicting gold volatility : exploring the impact of extreme risk in the international commodity market

Tang, Yusui; Zhong, Juandan - In: Finance research letters 58 (2023) 2, pp. 1-6

Persistent link: https://www.econbiz.de/10014631292

Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets

Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399

Persistent link: https://www.econbiz.de/10010528976

Jumps and gold futures volatility prediction

Li, Xiaoqian; Ma, Xiaoqi - In: Finance research letters 58 (2023) 3, pp. 1-5

Persistent link: https://www.econbiz.de/10014631150

Forecasting Intraday Volatility : Evidence from China Gold Futures Market

Ye, Chuxin; Luo, Xingguo; Xue, Yinsong; Lv, Jiamin - 2023

This study investigates the intraday realized volatility (RV) forecasting of gold futures in China. To predict the RV …

Persistent link: https://www.econbiz.de/10014257516

Volatility forecasting in the Chinese commodity futures market with intraday data

Jiang, Ying; Ahmed, Shamim; Liu, Xiaoquan - In: Review of quantitative finance and accounting 48 (2017) 4, pp. 1123-1173

Persistent link: https://www.econbiz.de/10011797006

Volatility regimes, asymmetric basis effects and forecasting performance : an empirical investigation of the WTI crude oil futures market

Chang, Kuang-liang - In: Energy economics 34 (2012) 1, pp. 294-306

Persistent link: https://www.econbiz.de/10009618842

Forecasting oil futures market volatility in a financialized world : why speculative activities matter

Chan, Kam C.; Chan, Leo H.; Nguyen, Chi M. - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012667181

Crude oil futures trading and uncertainty

Czudaj, Robert L. - 2018

This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques...

Persistent link: https://www.econbiz.de/10011979326

Volatility of commodity futures prices and market-implied inflation expectations

Orłowski, Lucjan T. - In: Journal of international financial markets, … 51 (2017), pp. 133-141

Persistent link: https://www.econbiz.de/10011896296

Crude oil futures trading and uncertainty

Czudaj, Robert - In: Energy economics 80 (2019), pp. 793-811

Persistent link: https://www.econbiz.de/10012173728

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