We employ the R-vine copula approach to study the dependence structures among non-ferrous metal commodity futures on the London Metal Exchange, focusing on the comparison before and after the 2008 financial crisis. We document that the center of dependence structure among non-ferrous metal...

This is the first comprehensive study on the forecasting of the realized volatility of non-ferrous metal futures. Based on 8.5 years of intraday data on copper, zinc, nickel, lead and aluminum, we explore a variety of extensions of the univariate heterogeneous autoregressive (HAR) model and seek...

The BAT reference document (BREF) entitled 'Non-Ferrous Metals Industries' forms part of a series presenting the results of an exchange of information between EU Member States, the industries concerned, non-governmental organisations promoting environmental protection, and the Commission, to...

In this paper we model the dynamics of 100 years long monthly price series of eight non-ferrous and precious metals. Applying the state space framework we impose and identify two common factors related to non-ferrous and precious metals, respectively, which exhibit quite distinct autoregressive...

Recent research has identified the presence of behavioral influences on traders in predominantly professionally traded markets such as oil, gold, and foreign exchange. Previous research had largely confined behavioral-based investigations to equity markets due to an assumption that noise traders...

We examine the impact of the pricing regime on price variability with reference to the non-ferrous metals industry. Theoretical arguments are ambiguous, but in any case suggest that the extent of monopoly power is more important that the pricing regime as a determinant of variability. Slade...

Die Arbeitsgruppe Rohstoffpreise der Vereinigung Europäischer Konjunkturforschungsinstitute (AIECE) hat sich am 3. und 4. April 1997 mit der Entwicklung der internationalen Rohstoffpreise befaßt. Unter der Annahme, daß das reale Bruttoinlandsprodukt in den Industrieländern 1997 um 2,6% und...