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, Changsha 410083, China Received 20 March 2019; accepted 21 June 2019 Abstract: Based on the commodity property and finance property of gold in the international gold futures market, the influence factors...; (1) where NCL, NCS and NCSP denote non-commercial long, short and spread positions, respectively, and TOI denotes total open interest. The data are sourced from the Commodity Futures Trading......
market predictability by metal price volatility is partly driven by commodity financialization. Key words: commodity futures; nonferrous metals; price volatility; stock return; predictability 1... of 1972-2007. A large body of empirical evidence suggested that the commodity index investment was the major driver of the current spike in commodity futures, aggravating the integration of commodity......
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the long memory in daily realized volatility. Moreover, the volatility clustering is observed in the RV series, which is in accordance with the changing nature of the commodity futures market. 2...Trans. Nonferrous Met. Soc. China 27(2017) 1206-1214 Volatility forecasting in Chinese nonferrous metals futures market Xue-hong ZHU1,2, Hong-wei ZHANG1,2, Mei-rui ZHONG1,2 1. School of Business......
traditional conditional fluctuation models. ZHU et al [10-13] used the commodity spillover index model to empirically test price linkage changes in copper futures for major futures markets, analyzed...Trans. Nonferrous Met. Soc. China 30(2020) 1707-1716 Prediction of metal futures price volatility and empirical analysis based on symbolic time series of high-frequency Dan WU1,2, Jian-bai HUANG1,2......
and volatility linkage of metals futures market [J]. Studies of International Finance, 2010, 4: 79-88. (in Chinese) [12] TAN J, DENG Q, WANG R. Relationship between international bulk commodity futures...Trans. Nonferrous Met. Soc. China 25(2015) 1020-1026 Price linkage between Chinese and international nonferrous metals commodity markets based on VAR-DCC-GARCH models Yi-ding YUE1, Du-chi LIU1, Shan......
innovations of this work are as follows: firstly, the research on commodity futures, especially the nonferrous metal futures market, is very rare in the existing research, while nonferrous metals...Trans. Nonferrous Met. Soc. China 28(2018) 2607-2618 Volatility-volume relationship of Chinese copper and aluminum futures market Bai-sheng SHI1, Xue-hong ZHU1,2, Hong-wei ZHANG1, Yi ZENG1 1. School......
that we cannot determine whether the futures price is influenced by the fund investment behavior. KRUGMAN [8] believed that commodity prices rose sharply because of the expanding world demand... and demand for physical crude oil. Additional empirical evidence is added regarding cross-sectional market returns and the relative levels of long-only index fund participation in 12 commodity futures......