Nonlinear examination of the "heat wave" and "meteor shower" effects between spot and futures markets of the precious metals
Dejan Živkov, Slavica Manić, Ivan Pavkov
| Year of publication: |
2022
|
|---|---|
| Authors: | Živkov, Dejan ; Manić, Slavica ; Pavkov, Ivan |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 63.2022, 2, p. 1109-1134
|
| Subject: | Inter and intra volatility transmission effect | Markov switching models in mean and variance | Precious metals | Spot and futures markets | Volatilität | Volatility | Warenbörse | Commodity exchange | Markov-Kette | Markov chain | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Rohstoffderivat | Commodity derivative | Spotmarkt | Spot market | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-021-02148-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013440356