We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

the first and the second conditional moments. To reveal long run price discovery we compute the common factor weights … futures market to be the leader of the long run price discovery process whereas a bidirectional short run causality structure …

price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The …-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the … find slightly more evidence of price discovery in the spot market. Specifically, using standard likelihood ratio tests, we …