Macro factors and the realized volatility of commodities: A dynamic network analysis
Sign Up to like & getrecommendations! Published in 2020 at "Resources Policy"
DOI: 10.1016/j.resourpol.2020.101813
Abstract: Abstract This paper explores the relationship between macro-factors and the realized volatility of commodity futures. Three main commodities—soybeans, gold and crude oil—are investigated using high-frequency data. For macro factors, we select six indicators including economic… read more here.
Keywords: macro factors; realized volatility; volatility; volatility commodities ... See more keywords
Macro Factors and Bond Returns in China
Sign Up to like & getrecommendations! Published in 2021 at "Emerging Markets Finance and Trade"
DOI: 10.1080/1540496x.2021.1941860
Abstract: ABSTRACT As a central issue in macro-finance studies, the spanning hypothesis has always been the focus of research. Previous studies have focused on whether this hypothesis holds true in developed markets, while paying little attention… read more here.
Keywords: finance; bond returns; excess returns; emerging markets ... See more keywords