The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Futures Markets"
DOI: 10.1002/fut.21897
Abstract: This paper applies the GARCH†MIDAS model to examine whether information contained in global economic policy uncertainty (GEPU) can help to predict short†and long†term components of the gold futures return variance. Our results… read more here.
Keywords: garch midas; gold futures; futures market; economic policy ... See more keywords
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
An integrated approach to optimize moving average rules in the EUA futures market based on particle swarm optimization and genetic algorithms
Sign Up to like & getrecommendations! Published in 2017 at "Applied Energy"
DOI: 10.1016/j.apenergy.2016.01.045
Abstract: Climate change is a big challenge facing global community in 21st century. The carbon emission futures markets has been treated as a key tool to combat climate change cost-effectively. Making profits from futures trading is… read more here.
Keywords: eua futures; approach optimize; market; moving average ... See more keywords
Forecasting gold futures market volatility using macroeconomic variables in the United States
Sign Up to like & getrecommendations! Published in 2018 at "Economic Modelling"
DOI: 10.1016/j.econmod.2018.02.003
Abstract: The U.S. gold futures market has recently attracted significant attention and the gold volatility is closely linked to macroeconomics. As such, the question is how to analyze the impact of various macroeconomic variables on gold.… read more here.
Keywords: volatility; gold futures; gold; macroeconomic variables ... See more keywords
Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches
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DOI: 10.1016/j.eneco.2019.05.018
Abstract: Abstract This paper aims to use both the standard and iterated combination approaches to accurately predict the oil futures market volatility. We further make a comprehensive comparison of the out-of-sample forecasting performance between the two… read more here.
Keywords: futures market; combination; combination approaches; volatility ... 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