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Long Memory in Asymmetric Dependence Between LME and Chinese Aluminum Futures

  • Published:2015-03-31 Issue:3 Volume:36 Page:267-294
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:

Author:

Gong Yuting1,Zheng Xu2

Affiliation:

1. Yuting Gong is Ph.D. Student in Finance at Antai College of Economics and Management; Shanghai Jiao Tong University; Shanghai China

2. Xu Zheng is a Professor of Finance at Antai College of Economics and Management; Shanghai Jiao Tong University; Shanghai China

Publisher

Wiley

Subject

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

Reference51 articles.

1. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001

2. The distribution of realized exchange rate volatility;Andersen;Journal of the American Statistical Association,2001

3. Real-time price discovery in global stock, bond and foreign exchange markets;Andersen;Journal of International Economics,2007

4. Real-time measurement of business conditions;Aruoba;Journal of Business & Economic Statistics,2009

5. Long memory models for daily and high frequency commodity futures returns;Baillie;Journal of Futures Markets,2007

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