The pass-through of macro variable to volatility co-movement among US currency and commodity futures markets system
Xingyu Dai, Imran Yousaf, Jiqian Wang, Qunwei Wang, Chi Keung Marco Lau
| Year of publication: |
2025
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| Authors: | Dai, Xingyu ; Yousaf, Imran ; Wang, Jiqian ; Wang, Qunwei ; Lau, Chi Keung |
| Published in: |
Journal of commodity markets : JCM. - Amsterdam : Elsevier, ISSN 2405-8505, ZDB-ID 2851869-X. - Vol. 38.2025, Art.-No. 100463, p. 1-23
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| Subject: | Commodity futures | Currency futures | Dynamic equicorrelation | Macro variable | MIDAS | Realized volatility | Volatilität | Volatility | Währungsderivat | Currency derivative | Rohstoffderivat | Commodity derivative | USA | United States | Wechselkurs | Exchange rate | Warenbörse | Commodity exchange | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jcomm.2025.100463 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015426509