Volatility forecasting in the Chinese commodity futures market with intraday data
Given the unique institutional regulations in the Chinese commodity futures market as well as the characteristics of the data it generates, we utilize contracts with three months to delivery, the most liquid contract series, to systematically explore volatility forecasting for aluminum, copper, fuel...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer
2016
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/34280/ |