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dc.contributor.authorOmura, Akihiro
dc.contributor.authorLi, Bin
dc.contributor.authorChung, Richard
dc.contributor.authorTodorova, Neda
dc.date.accessioned2019-05-29T12:43:18Z
dc.date.available2019-05-29T12:43:18Z
dc.date.issued2018
dc.identifier.issn0264-9993
dc.identifier.doi10.1016/j.econmod.2017.08.033
dc.identifier.urihttp://hdl.handle.net/10072/373440
dc.description.abstractUnder the notion of convenience yield, a price of spot contract inherits relative implied value, against futures/forward contracts, for being readily available. This study examines the presence of a short-term lead-lag relationship between the volatility of futures price changes (including its decomposed components) and the convenience yield of major base metals, namely, aluminium, copper, nickel and zinc. Since an increase in the level of volatility may stimulate the demand for inventory, this study aims to provide alternative measures to understand the dynamic behaviour of convenience yield. Taken together, the results mostly support the presence of statistically significant relationships between the convenience yield and the realised volatility, which can be used for constructing effective inventory and investment strategies.
dc.description.peerreviewedYes
dc.languageEnglish
dc.publisherElsevier
dc.publisher.placeNetherlands
dc.relation.ispartofpagefrom496
dc.relation.ispartofpageto510
dc.relation.ispartofjournalEconomic Modelling
dc.relation.ispartofvolume70
dc.subject.fieldofresearchInvestment and Risk Management
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchEconometrics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode150205
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1403
dc.subject.fieldofresearchcode1502
dc.titleConvenience yield, realised volatility and jumps: Evidence from non-ferrous metals
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.description.notepublicThis publication has been entered into Griffith Research Online as an Advanced Online Version.
gro.hasfulltextNo Full Text
gro.griffith.authorLi, Bin
gro.griffith.authorChung, Richard Yiu-Ming
gro.griffith.authorTodorova, Neda
gro.griffith.authorOmura, Akihiro


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