Related commodity markets and conditional correlations

DOI10.1016/J.MATCOM.2005.02.016MaRDI QIDQ2486205zbMATH OpenOpenAlexFDO

Authors Clinton Watkins, Michael McAleer

Publication date 5 August 2005

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2005.02.016

zbMATH Keywords

Cross-sectional aggregationFutures contractsGARCHVolatility

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; economic indices and measures (91B82)

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Cites work

• Generalized autoregressive conditional heteroscedasticity
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• Properties of moments of a family of GARCH processes
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Stationarity and the existence of moments of a family of GARCH processes.

Cited in

(10)

• Local Gaussian correlations in financial and commodity markets
• Implied basket correlation dynamics
• Goods and Asset Market Interdependence in a Risky World
• Volatility forecasting of strategically linked commodity ETFs: gold-silver
• Precious metals under the microscope: a high-frequency analysis
• The post-crisis insight into nickel pricing on the London Metal Exchange
• Copper price discovery on COMEX, 2006--2015
• Commodity markets through the business cycle
• The dynamics of commodity prices
• How has volatility in metals markets changed?

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