dc.contributor.author | Todorova, Neda | |
dc.date.accessioned | 2018-11-13T03:21:27Z | |
dc.date.available | 2018-11-13T03:21:27Z | |
dc.date.issued | 2015 | |
dc.identifier.issn | 0264-9993 | |
dc.identifier.doi | 10.1016/j.econmod.2015.07.005 | |
dc.identifier.uri | http://hdl.handle.net/10072/102458 | |
dc.description.abstract | This study analyzes the volatility of LME futures contracts on aluminum, copper, lead, nickel and zinc using high-frequency data. The dynamics of realized volatility is studied over the period from January 2004 to September 2012 and is shown to be well captured with a rolling HAR-GARCH model. An increasing importance of short-term volatility components is evident across all metals in the aftermath of the global financial crisis and the related sharp decline in industrial metal prices. The heavier impact of short-term volatility corresponds consistently to a decreasing persistence of the volatility of realized volatility. In terms of predictive accuracy, even though leverage effects or GARCH-terms related to the volatility of realized volatility are characterized for the most part by significant in-sample parameters, the plain HAR model cannot be consistently outperformed by explicitly accounting for these stylized facts. | |
dc.description.peerreviewed | Yes | |
dc.language | English | |
dc.language.iso | eng | |
dc.publisher | Elsevier | |
dc.publisher.place | Netherlands | |
dc.relation.ispartofpagefrom | 1 | |
dc.relation.ispartofpageto | 12 | |
dc.relation.ispartofjournal | Economic Modelling | |
dc.relation.ispartofvolume | 51 | |
dc.subject.fieldofresearch | Investment and risk management | |
dc.subject.fieldofresearchcode | 350208 | |
dc.title | The course of realized volatility in the LME non-ferrous metal market | |
dc.type | Journal article | |
dc.type.description | C1 - Articles | |
dc.type.code | C - Journal Articles | |
gro.faculty | Griffith Business School, Department of Accounting, Finance and Economics | |
gro.hasfulltext | No Full Text | |
gro.griffith.author | Todorova, Neda | |