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The impact of information flow and trading activity on gold and oil futures volatility

Clements, Adam; Liao, Yin - 2014

Persistent link: https://www.econbiz.de/10011343881

Forecasting volatility in commodity markets with climate risk

Guo, Yangli; Peng, Pei; Zhou, Ling; Tang, Yusui - In: Finance research letters 78 (2025), pp. 1-9

Persistent link: https://www.econbiz.de/10015416140

Forecasting the oil price realized volatility : a multivariate heterogeneous autoregressive model

Tang, Yusui; Ma, Feng; Zhang, Yaojie; Wei, Yu - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4770-4783

Persistent link: https://www.econbiz.de/10013461377

Predicting gold volatility : exploring the impact of extreme risk in the international commodity market

Tang, Yusui; Zhong, Juandan - In: Finance research letters 58 (2023) 2, pp. 1-6

Persistent link: https://www.econbiz.de/10014631292

Geopolitical risk uncertainty and oil future volatility : evidence from MIDAS models

Mei, Dexiang; Ma, Feng; Liao, Yin; Wang, Lu - In: Energy economics 86 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012511406

The Pricing of Geopolitical Risk in Cross-Sectional Commodity Returns

Cheng, Daxuan; Liao, Yin; Pan, Zheyao - 2022

In this study, we investigate whether geopolitical risk is a pricing factor in cross-sectional commodity futures returns. By estimating the exposure of commodity futures returns on a geopolitical risk index, we find that commodities with high-risk beta generate 7.92% higher annual returns than...

Persistent link: https://www.econbiz.de/10013308211

An oil futures volatility forecast perspective on the selection of high-frequency jump tests

Li, Xiafei; Liao, Yin; Lu, Xinjie; Ma, Feng - In: Energy economics 116 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013542124

The geopolitical risk premium in the commodity futures market

Cheng, Daxuan; Liao, Yin; Pan, Zheyao - In: The journal of futures markets 43 (2023) 8, pp. 1069-1090

Persistent link: https://www.econbiz.de/10014339374

Do commodity futures have a steering effect on the spot stock market in China? : new evidence from volatility forecasting

Lu, Fei; Ma, Feng; Bouri, Elie; Liao, Yin - In: International review of financial analysis 94 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014543949

Information flow, trading activity and commodity futures volatility

Clements, Adam; Todorova, Neda - In: The journal of futures markets 36 (2016) 1, pp. 88-104

Persistent link: https://www.econbiz.de/10011567574