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dc.contributor.authorOmura, Akihiroen_US
dc.contributor.authorLi, Binen_US
dc.contributor.authorChung, Richard Yiu-Mingen_US
dc.contributor.authorTodorova, Nedaen_US
dc.date.accessioned2019-05-29T12:43:18Z
dc.date.available2019-05-29T12:43:18Z
dc.date.issued2018en_US
dc.identifier.issn0264-9993en_US
dc.identifier.doi10.1016/j.econmod.2017.08.033en_US
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.en_US
dc.description.peerreviewedYesen_US
dc.languageEnglishen_US
dc.publisherElsevieren_US
dc.publisher.placeNetherlandsen_US
dc.relation.ispartofpagefrom496en_US
dc.relation.ispartofpageto510en_US
dc.relation.ispartofjournalEconomic Modellingen_US
dc.relation.ispartofvolume70en_US
dc.subject.fieldofresearchInvestment and Risk Managementen_US
dc.subject.fieldofresearchApplied Economicsen_US
dc.subject.fieldofresearchEconometricsen_US
dc.subject.fieldofresearchcode150205en_US
dc.subject.fieldofresearchcode1402en_US
dc.subject.fieldofresearchcode1403en_US
dc.titleConvenience yield, realised volatility and jumps: Evidence from non-ferrous metalsen_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Articlesen_US
dc.type.codeC - Journal Articlesen_US
gro.facultyGriffith Business School, Department of Accounting, Finance and Economicsen_US
gro.description.notepublicThis publication has been entered into Griffith Research Online as an Advanced Online Version.en_US
gro.hasfulltextNo Full Text


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