The Return-Volatility Relation in Commodity Futures Markets

Author:

Chiarella Carl1,Kang Boda2,Nikitopoulos Christina Sklibosios1,Tô Thuy-Duong3

Affiliation:

1. Carl Chiarella and Christina Sklibosios Nikitopoulos are at Finance Discipline Group, UTS Business School; University of Technology; Sydney, P.O. Box 123 Broadway, NSW 2007 Australia

2. Boda Kang is at Department of Mathematics; University of York; Heslington, York YO10 5DD United Kingdom

3. Thuy-Duong Tô is at School of Banking and Finance, UNSW Business School; The University of New South Wales; Sydney, NSW 2052 Australia

Funder

Australian Research Council

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference47 articles.

1. Efficient analytic approximation of American option values;Barone-Adesi;Journal of Finance,1987

2. Asymmetric volatility in the gold market;Baur;The Journal of Alternative Investments,2012

3. Is gold a safe haven? International evidence;Baur;Journal of Banking and Finance,2010

4. Asymmetric volatility and risk in equity markets;Bekaert;The Review of Financial Studies,2000

5. The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality;Bekiros;Energy Economics,2008

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