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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

Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets

Luo, Jiawen; Marfatia, Hardik A.; Ji, Qiang; Klein, Tony - In: Energy economics 117 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014437127

Asymmetric and high-order risk transmission across VIX and Chinese futures markets

Zhang, Qun; Zhang, Zhendong; Luo, Jiawen - In: International review of financial analysis 93 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014543395

Momentum and Mean-Reversion in Commodity Spot and Futures Markets

Chaves, Denis B. - 2016

We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices. We find that momentum performs well in futures markets, but not in spot markets, and that mean-reversion performs well in spot markets, but...

Persistent link: https://www.econbiz.de/10012984051