Macroeconomic forecasts and commodity futures volatility

Author:

Ye Wuyi,Guo Ranran,Deschamps Bruno,Jiang Ying,Liu Xiaoquan

Funder

Zhejiang Provincial Natural Science Foundation

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference58 articles.

1. FIA 2017 annual volume survey: a surge in interest rate trading in North America helps offset a decline in commodity trading in Asia Pacific;Acworth;Market Voice Mag.,2018

2. Stock returns and volatility: pricing the short-run and long-run components of market risk;Adrian;J. Finance,2008

3. Range-based estimation of stochastic volatility models;Alizadeh;J. Finance,2002

4. Determinants of commodity prices;Arango;Appl. Econ.,2012

5. The importance of the macroeconomic variables in forecasting stock return variance: a GARCH-MIDAS approach;Asgharian;J. Forecast.,2013

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