Precious metals under the microscope: a high-frequency analysis

DOI10.1080/14697688.2014.947313MaRDI QIDQ4683093zbMATH OpenOpenAlexFDO

Authors Massimiliano Caporin, Angelo Ranaldo, Gabriel G. Velo

Publication date 19 September 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1409.pdf

zbMATH Keywords

commonality in liquidityhigh-frequency dataintradaily periodicityliquidityprecious metals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• High-Frequency Volatility and Liquidity
• The dynamics of palladium and platinum prices
• Conditional higher order moments in metal asset returns
• Modelling and filtering for dynamic investment in the precious-metals market
• Related commodity markets and conditional correlations

Cites work

• A k-Factor GARMA Long-memory Model
• Estimating a generalized long memory process
• Financial econometric analysis at ultra-high frequency: Data handling concerns
• Forecasting temperature indices density with time-varying long-memory models
• Generalised long-memory GARCH models for intra-daily volatility
• Modeling and pricing long memory in stock market volatility
• Modelling and forecasting wind speed intensity for weather risk management
• ON GENERALIZED FRACTIONAL PROCESSES
• Periodic Long-Memory GARCH Models
• The Price Variability-Volume Relationship on Speculative Markets

Cited in

(3)

• The dynamics of palladium and platinum prices
• The role of white precious metals in the allocation of general asset
• Volatility forecasting of strategically linked commodity ETFs: gold-silver

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