Tsiaras, Konstantinos - In: SPOUDAI - Journal of Economics and Business 70 (2020) 3/4, pp. 42-55
This paper seeks to investigate the time-varying dynamic conditional correlations to the five most important future metal markets, namely Gold, Silver, Copper, Zinc and Aluminium. We employ a multivariate Fractionally Integrated Generalized ARCH (FIGARCH) dynamic conditional correlation (cDCC)...
