Realized volatility spillovers in the non-ferrous metal futures market

Modeling Volatility Spillovers in Iran Capital Market

This paper investigates the conditional correlations and volatility spillovers between the dollar exchange rate return, gold coin return and crude oil return to stock index return. Monthly returns in the 144 observations (2005 - 2017) are analyzed by constant conditional correlation, dynamic conditional correlation, VARMA-GARCH and VARMA-AGARCH models. So this paper presents interdependences in...

Market Efficiency and Volatility Spillovers in Futures and Spot Commodity Market: The Agricultural Sector Perspective

Future contracts in commodity market with limited maturities are primarily used for hedging commodity price-fluctuation risks or for taking advantage of price movements, rather than for the buying or selling of the actual cash commodity. This paper is an effort to analyze the market efficiency of the Indian commodity market and volatility spillover effects between the spot and future market wit...

Volatility in the Gold Futures Market

Disclaimer Any opinions expressed here are those of the author(s) and not those of the IIIS. All works posted here are owned and copyrighted by the author(s). Papers may only be downloaded for personal use only. Abstract: We investigate the volatility structure of gold, trading as a futures contract on the Chicago Board of Trade (CBOT) using intraday (high frequency) data from January 1999 to D...

Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise

For the estimation problem of the realized volatility, covariance and hedging coefficient by using high frequency data with possibly micro-market noises, we use the Separating Information Maximum Likelihood (SIML) method, which was recently developed by Kunitomo and Sato (2008a,b). By analyzing the Nikkei 225 futures and spot index markets, we have found that the estimates of realized volatilit...

Herding, Information Cascades and Volatility Spillovers in Futures Markets