Return and volatility co-movement in commodity futures markets : the effects of liquidity risk
Yongmin Zhang and Shusheng Ding
| Year of publication: |
September 2018
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|---|---|
| Authors: | Zhang, Yongmin ; Ding, Shusheng |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 9, p. 1471-1486
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| Subject: | Commodity futures markets | Price co-movement | Liquidity effects | Volatility co-movement | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | Marktliquidität | Market liquidity | Liquidität | Liquidity | Welt | World | Warenbörse | Commodity exchange |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1444562 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011913167