Volatility forecasting in the Chinese commodity futures market with intraday data
Sign Up to like & getrecommendations! Published in 2017 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-016-0570-4
Abstract: Given the unique institutional regulations in the Chinese commodity futures market as well as the characteristics of the data it generates, we utilize contracts with three months to delivery, the most liquid contract series, to systematically… read more here.
Keywords: volatility; chinese commodity; volatility forecasting; commodity futures ... See more keywords
The financialization of Chinese commodity markets
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DOI: 10.1016/j.frl.2020.101438
Abstract: Abstract This study investigates the financialization of China's futures market from a market-integration perspective. First, this study examines the integration between the commodity market and financial capital markets (stock/bond/foreign exchange markets) by using multivariate GARCH… read more here.
Keywords: chinese commodity; market; financialization chinese; commodity markets ... See more keywords
Intraday momentum in Chinese commodity futures markets
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DOI: 10.1016/j.ribaf.2020.101278
Abstract: Abstract In this paper, we study whether the intraday momentum exists in Chinese commodity futures markets. We first construct an open-interest-weighted index with the high-frequency data of all commodity futures traded and then examine the… read more here.
Keywords: futures markets; chinese commodity; half hour; commodity futures ... See more keywords
The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets
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DOI: 10.1080/14697688.2019.1687926
Abstract: This paper examines portfolio strategies that incorporate individual and systematic higher-order moments, within a stochastic optimization framework with uncertain mean and covariance. Using weekly, daily, and 30-minute interval data on Chinese commodity futures, we show… read more here.
Keywords: incorporating higher; portfolio strategies; chinese commodity; higher moments ... See more keywords