Showing 1 - 10 of 230
In this paper, we investigate the efficiency and multifractality of a gold market based on multifractal detrended fluctuation analysis. Our evidence shows that the gold return series are multifractal both for time scales smaller than a month and for time scales larger than a month. For time...
Persistent link: https://www.econbiz.de/10010874425
In this paper, we study the auto-correlations and cross-correlations of West Texas Intermediate (WTI) crude oil spot and futures return series employing detrended fluctuation analysis (DFA) and detrended cross-correlation analysis (DCCA). Scaling analysis shows that, for time scales smaller than...
Persistent link: https://www.econbiz.de/10010589266
In this paper, we investigate the cross-correlations between Chinese A-share and B-share markets. Qualitatively, we find that the return series of Chinese A-share and B-share markets were overall significantly cross-correlated based on the analysis of a statistic. Quantitatively, employing the...
Persistent link: https://www.econbiz.de/10010590328
In this paper, we investigate the long-range auto-correlated behavior of WTI crude oil volatility series employing multifractal detrended fluctuation analysis. Our findings show that the for small time scales, the auto-correlations of volatilities were multifractal while for large time scales,...
Persistent link: https://www.econbiz.de/10010591586
This paper investigates the issue whether GARCH-type models can well capture the long memory widely existed in the volatility of WTI crude oil returns. In this frame, we model the volatility of spot and futures returns employing several GARCH-class models. Then, using two non-parametric methods,...
Persistent link: https://www.econbiz.de/10008868260
Persistent link: https://www.econbiz.de/10008893639
We use a cost of carry model with nonzero transactions costs to motivate estimation of a nonlinear dynamic relationship between the Samp;P 500 futures and cash indexes. Discontinuous arbitrage suggests that a threshold error correction mechanism may characterize many aspects of the relationship...
Persistent link: https://www.econbiz.de/10012753061
We compare the sensitivity of managerial cash compensation to firm performance, the level of long term managerial incentives, and the sensitivity of CEO turnover to firm performance for three types of state-controlled Chinese firms: A shares (firms incorporated and listed in mainland China), H...
Persistent link: https://www.econbiz.de/10012714493
While the impacts of oil price changes on agricultural commodity markets are of great interest to economists, previous studies do not differentiate oil-specific shocks from aggregate demand shocks. In this paper, we address this issue using a structural VAR analysis. Our findings indicate that...
Persistent link: https://www.econbiz.de/10011100069
In this study, we forecast economic policy uncertainty (EPU) using input on 23 commodity price changes. We reveal the significant predictability of EPU using three forecast combinations. This indicates that commodity price changes can be taken as a leading indicator of EPU.
Persistent link: https://www.econbiz.de/10011189556