This document has not been cited yet.

1. Aluminum (2018). Demand for aluminium is growing worldwide. URL: https://www. aluminium-messe.com/en/Demand-for-aluminium-is-growing-worldwide/758/.
   Paper not yet in RePEc: Add citation now
   

2. Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007). Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.

3. Andersen, T. G., Bollerslev, T., & Huang, X. (2011). A reduced form framework for modeling volatility of speculative prices based on realized variation measures. Journal of Econometrics, 160, 176–189. URL: http://linkinghub.elsevier.com/retrieve/ pii/S0304407610000710. doi:10.1016/j.jeconom.2010.03.029.

4. Andersen, T. G., Dobrev, D., & Schaumburg, E. (2012). Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics, 169, 75–93. doi:10.1016/ j.jeconom.2012.01.011.

5. Barndorff-Nielsen, O. E. (2004). Power and Bipower Variation with Stochastic Volatility and Jumps. Journal of Financial Econometrics, 2, 1–37. doi:10.1093/jjfinec/ nbh001.
   Paper not yet in RePEc: Add citation now
   

6. Bertram, W. K. (2004). An empirical investigation of Australian Stock Exchange data.

7. Bloomberg (2018). What to expect from China’s futures market opening up. URL: https://www.bloomberg.com/professional/blog/ expect-chinas-futures-market-opening/.
   Paper not yet in RePEc: Add citation now
   
8. China Finance Review International, (pp. CFRI–10–2017–0213). doi:10.1108/ CFRI-10-2017-0213.
   Paper not yet in RePEc: Add citation now
   

9. Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7, 174–196. doi:10.1093/jjfinec/nbp001.

10. Corsi, F., & Renò, R. (2012). Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling. Journal of Business & Economic Statistics, 30, 368–380. doi:10.1080/07350015.2012.663261.

11. Degiannakis, S., & Filis, G. (2017). Forecasting oil price realized volatility using information channels from other asset classes. Journal of International Money and Finance, 76, 28–49. doi:10.1016/j.jimonfin.2017.05.006.

12. Du, J. (2018). Empirical differences between the overnight and day trading hour returns.

13. Fan, J. H., & Zhang, T. (2018). Demystifying commodity futures in China. URL: SSRNWorkingPaper.
    Paper not yet in RePEc: Add citation now
    
14. FT (2018). Copper and Aussie dollar highlight China’s slowing economy. URL: https: //www.ft.com/content/b5111d0c-8127-11e8-bc55-50daf11b720d.
    Paper not yet in RePEc: Add citation now
    

15. Fung, H. G., Tse, Y., Yau, J., & Zhao, L. (2013). A leader of the world commodity futures markets in the making? The case of China’s commodity futures. International Review of Financial Analysis, 27, 103–114. doi:10.1016/j.irfa.2013.01.001.

16. Fung, H. G., Wilson Liu, Q., & Tse, Y. (2010). The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets. Journal of Futures Markets, 30, 1192–1209. doi:10.1002/fut.20474.

17. Fung, H.-G., Mai, L., & Zhao, L. (2016). The effect of nighttime trading of futures markets on information flows: evidence from China. China Finance and Economic Review, 4, 1–16. doi:10.1186/s40589-016-0032-0.

18. Gong, X., & Lin, B. (2018). Structural breaks and volatility forecasting in the copper futures market. Journal of Futures Markets, 38, 290–339. doi:10.1002/fut.21867.

19. Home, A. (2018). As LME volumes fall, is base metals pricing fragmenting? Reuters, 16/01/2016. URL: https://www.reuters.com/article/us-lme-trading-ahome/ as-lme-volumes-fall-is-base-metals-pricing-fragmenting-andy-home-idUSKCN0UT24O.
    Paper not yet in RePEc: Add citation now
    

20. Hou, K., Chan, L., & Zeng, L. (2015). Price linkages between Chinese and world copper futures markets. Frontiers of Economics in China, 10, 272–300. doi:10.1007/ s11459-008-0021-9.

21. Huang, X., & Tauchen, G. (2005). The Relative Contribution of Jumps to Total Price Variance.

22. Jin, M., Li, Y., Wang, J., & Yang, Y. C. (2018). Price discovery in the Chinese gold market. Journal of Futures Markets, 38, 1262–1281. doi:10.1002/fut.21938.

23. Kang, S. H., Tiwari, A. K., Albulescu, C. T., & Yoon, S. M. (2018). Time-frequency co-movements between the largest nonferrous metal futures markets. Resources Policy, in press. doi:10.1016/j.resourpol.2017.12.010.
    Paper not yet in RePEc: Add citation now
    

24. Li, X., & Zhang, B. (2008). Price linkages between Chinese and world copper futures markets.

25. Li, Z., & Zhang, L. H. (2013). An empirical study of international linkages of the Shanghai copper futures market. Chinese Economy, 46, 61–74. doi:10.2753/ CES1097-1475460304.

26. Liao, T. X., Morse, E. L., Doshi, A., Wilson, D. B., & Yuen, A. (2016). China commodities: Hold onto your hats— explosion in Chinese commodities futures brings unprecedented liquidity, untested volatility. Technical Report April. URL: https://ir.citi.com/ Bz8111ietxKzY1TqC{%}2Bp6IXcEuOY3I5Jt0MmdDuH5kaetxMY73pHYXLdhvB9XgupK6oepmULdK08{%}3D Lien, D., & Yang, L. (2009). Intraday return and volatility spill-over across international copper futures markets. International Journal of Managerial Finance, 5, 135–149. doi:10.1108/17439130910932378.
    Paper not yet in RePEc: Add citation now
    

27. Liu, Q., & Yunbi, A. (2014). Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets. Pacific Basin Finance Journal, 30, 17–29. doi:10.1016/j.pacfin.2014.07.005.

28. Patton, A. J., & Sheppard, K. (2015). Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility. Review of Economics and Statistics, 97, 683–697.

29. Rutledge, R. W., Karim, K., & Wang, R. (2013). International copper futures market price linkage and information transmission: Empirical evidence from the primary world copper markets. Journal of International Business Research, 12, 113–131.
    Paper not yet in RePEc: Add citation now
    
30. Sévi, B. (2014). Forecasting the volatility of crude oil futures using intraday data. European Journal of Operational Research, 235, 643–659. doi:10.1016/j.ejor.2014.01. 019.
    Paper not yet in RePEc: Add citation now
    

31. Todorova, N. (2015). The course of realized volatility in the LME non-ferrous metal market. Economic Modelling, 51, 1–12. doi:10.1016/j.econmod.2015.07.005.

32. Todorova, N., & Soucek, M. (2014). Overnight information flow and realized volatility forecasting. Finance Research Letters, 11, 420–428. doi:10.1016/j.frl.2014.07.001.

33. Todorova, N., Worthington, A., & Soucek, M. (2014). Realized volatility spillovers in the non-ferrous metal futures market. Resources Policy, 39, 21–31. doi:10.1016/j. resourpol.2013.10.008.

34. Wang, T., & Wang, C. (2017). The spillover effects of China’s industrial growth on price changes of base metal. Resources Policy, . doi:10.1016/j.resourpol.2017.11.007.
    Paper not yet in RePEc: Add citation now
    

35. Wellenreuther, C., & Voelzke, J. (2019). Speculation and volatility — A time-varying approach applied on Chinese commodity futures markets. The Journal of Futures Markets, (pp. 405–417). doi:10.1002/fut.21984.

36. White, H. (1980). A Heteroskedasticity-Consistent Covariance-Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica, 48, 817–838.
    Paper not yet in RePEc: Add citation now
    

37. Xin, Y., Chen, G., & Firth, M. (2006). The efficiency of the Chinese commodity futures markets: Development and empirical evidence. China & World Economy, 14, 79–92.

38. Xu, C., & Zhang, D. (2019). Market openness and market quality in gold markets. Journal of Futures Markets, 39, 384–401. doi:10.1002/fut.21969.

39. Yin, L., & Han, L. (2013). Exogenous Shocks and Information Transmission in Global Copper Futures Markets. Journal of Futures Markets, 33, 724–751. doi:10.1002/fut. 21610.

40. Zhang, H., Zhu, X., Guo, Y., & Liu, H. (2018). A separate reduced-form volatility forecasting model for nonferrous metal market: Evidence from copper and aluminum.

41. Zhao, L. (2015). The development and challenges of China’s futures markets. Chinese Economy, 48, 279–296. doi:10.1080/10971475.2015.1044852.
    Paper not yet in RePEc: Add citation now
    
42. Zhu, X., Zhang, H., & Zhong, M. (2017). Volatility forecasting in Chinese nonferrous metals futures market. Transactions of Nonferrous Metals Society of China (English Edition), 17, 1206–1214. doi:10.1016/S1003-6326(17)60141-9.
    Paper not yet in RePEc: Add citation now
    

1. Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Lyocsa, Tefan ; Todorova, Neda.
   In: Applied Energy.
   RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

   Full description at Econpapers || Download paper

2. Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2021). Hu, Junjie ; Hardle, Wolfgang Karl ; Kuo, Weiyu.
   In: Papers.
   RePEc:arx:papers:1912.05228.

   Full description at Econpapers || Download paper

3. Intraday jumps in Chinas Treasury bond market and macro news announcements. (2015). Cui, Jing ; Zhao, Hua.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:39:y:2015:i:c:p:211-223.

   Full description at Econpapers || Download paper

4. Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. (2015). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
   In: CREATES Research Papers.
   RePEc:aah:create:2015-14.

   Full description at Econpapers || Download paper

5. Chasing volatility - A persistent multiplicative error model with jumps. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano.
   In: CREATES Research Papers.
   RePEc:aah:create:2014-29.

   Full description at Econpapers || Download paper

6. Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange. (2014). Olesen, Kasper V. ; Lunde, Asger.
   In: CREATES Research Papers.
   RePEc:aah:create:2013-19.

   Full description at Econpapers || Download paper

7. The information content of risk-neutral skewness for volatility forecasting. (2013). Byun, Suk Joon ; Kim, Junsik.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:23:y:2013:i:c:p:142-161.

   Full description at Econpapers || Download paper

8. Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility. (2013). Das, Kuntal ; Shimatani, Takeshi ; Cheng, Ai-Ru.
   In: Journal of Asian Economics.
   RePEc:eee:asieco:v:28:y:2013:i:c:p:87-98.

   Full description at Econpapers || Download paper

9. Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships. (2013). Jacquier, Eric ; Okou, Cedric.
   In: CIRANO Working Papers.
   RePEc:cir:cirwor:2013s-14.

   Full description at Econpapers || Download paper

10. Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility. (2013). Das, Kuntal ; Shimatani, Takeshi ; Cheng, Ai-Ru.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:13/19.

    Full description at Econpapers || Download paper

11. Efficient and feasible inference for the components of financial variation using blocked multipower variation. (2012). Sheppard, Kevin ; Shephard, Neil ; Mykland, Per A..
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:593.

    Full description at Econpapers || Download paper

12. A reassessment of the risk-return tradeoff at the daily horizon. (2012). Sévi, Benoît ; Baena, Csar ; Svi, Benot.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00845.

    Full description at Econpapers || Download paper

13. Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes. (2012). Nagata, Shuichi.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00589.

    Full description at Econpapers || Download paper

14. Can Internet search queries help to predict stock market volatility?. (2011). Jank, Stephan ; Dimpfl, Thomas.
    In: University of Tübingen Working Papers in Business and Economics.
    RePEc:zbw:tuewef:18.

    Full description at Econpapers || Download paper

15. Can internet search queries help to predict stock market volatility?. (2011). Jank, Stephan ; Dimpfl, Thomas.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1115.

    Full description at Econpapers || Download paper

16. Volatility Transmission in Emerging European Foreign Exchange Markets. (2011). Kočenda, Evžen ; Bubak, Vit ; Zikes, Filip.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2011-1020.

    Full description at Econpapers || Download paper

17. Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps. (2011). Swanson, Norman ; Duong, Diep.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201117.

    Full description at Econpapers || Download paper

18. On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). Sévi, Benoît ; Chevallier, Julien.
    In: Annals of Finance.
    RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29.

    Full description at Econpapers || Download paper

19. Brownian motion vs. pure-jump processes for individual stocks. (2011). Sévi, Benoît ; Baena, Csar ; Svi, Benot.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00669.

    Full description at Econpapers || Download paper

20. Non-Gaussianity of the Intraday Returns Distribution: its evolution in time. (2011). Virasoro, M. A..
    In: Papers.
    RePEc:arx:papers:1112.0770.

    Full description at Econpapers || Download paper

21. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market. (2010). Maheu, John ; Liu, Chun.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-401.

    Full description at Econpapers || Download paper

22. Marginal likelihood calculation for gelfand-dey and Chib Method. (2010). Liu, Chun.
    In: MPRA Paper.
    RePEc:pra:mprapa:34928.

    Full description at Econpapers || Download paper

23. Modelling the convenience yield in carbon prices using daily and realized measures. (2010). Chevallier, Julien.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00463921.

    Full description at Econpapers || Download paper

24. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David ; Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2010_06.

    Full description at Econpapers || Download paper

25. Surprising information, the MDH, and the relationship between volatility and trading volume. (2010). Park, Beum Jo.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:13:y:2010:i:3:p:344-366.

    Full description at Econpapers || Download paper

26. Estimation of Jump Tails. (2010). Bollerslev, Tim ; Todorov, Viktor.
    In: CREATES Research Papers.
    RePEc:aah:create:2010-16.

    Full description at Econpapers || Download paper

27. Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Huang, Zhuo ; Hansen, Peter ; Shek, Howard Howan .
    In: CREATES Research Papers.
    RePEc:aah:create:2010-13.

    Full description at Econpapers || Download paper

28. Realising the future: forecasting with high frequency based volatility (HEAVY) models. (2009). Sheppard, Kevin ; Shephard, Neil.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:438.

    Full description at Econpapers || Download paper

29. Realising the future: forecasting with high frequency based volatility (HEAVY) models. (2009). Sheppard, Kevin ; Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0903.

    Full description at Econpapers || Download paper

30. Localized Realized Volatility Modelling. (2009). Chen, Ying ; Hardle, Wolfgang ; Pigorsch, Uta.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2009-003.

    Full description at Econpapers || Download paper

31. On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00387286.

    Full description at Econpapers || Download paper

32. On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: Working Papers.
    RePEc:fem:femwpa:2009.113.

    Full description at Econpapers || Download paper

33. Announcements, financial operations or both? Generalizing central banks FX reaction functions. (2009). Gnabo, Jean-Yves ; Bernal, Oscar.
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:23:y:2009:i:4:p:367-394.

    Full description at Econpapers || Download paper

34. Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility. (2009). ulu, yasemin ; Schnabl, Gunther ; Hillebrand, Eric.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:3:p:490-505.

    Full description at Econpapers || Download paper

35. Real-time effects of central bank intervention in the euro market. (2009). Fatum, Rasmus ; Pedersen, Jesper.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:78:y:2009:i:1:p:11-20.

    Full description at Econpapers || Download paper

36. Empirical evidence on jumps in the term structure of the US Treasury Market. (2009). Smith, L. Vanessa ; McKenzie, Michael ; Dungey, Mardi.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:430-445.

    Full description at Econpapers || Download paper

37. The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets. (2009). Cartea, Álvaro ; Karyampas, Dimitrios.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0914.

    Full description at Econpapers || Download paper

38. Long Memory and Tail dependence in Trading Volume and Volatility. (2009). Santucci de Magistris, Paolo ; Rossi, Eduardo.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-30.

    Full description at Econpapers || Download paper

39. Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-27.

    Full description at Econpapers || Download paper

40. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies. (2009). Tauchen, George ; Bollerslev, Tim ; Sizova, Natalia.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-05.

    Full description at Econpapers || Download paper

41. Volatility forecasting: the jumps do matter. (2008). Renò, Roberto ; Corsi, Fulvio ; Reno, Roberto ; Pirino, Davide.
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:534.

    Full description at Econpapers || Download paper

42. Do high-frequency measures of volatility improve forecasts of return distributions?. (2008). McCurdy, Thomas ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-324.

    Full description at Econpapers || Download paper

43. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080011.

    Full description at Econpapers || Download paper

44. The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets. (2008). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Paper.
    RePEc:qed:wpaper:1181.

    Full description at Econpapers || Download paper

45. Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns. (2008). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per.
    In: Working Paper.
    RePEc:qed:wpaper:1173.

    Full description at Econpapers || Download paper

46. On forecasting daily stock volatility: the role of intraday information and market conditions. (2008). Izzeldin, M ; Kalotychou, E.
    In: Working Papers.
    RePEc:lan:wpaper:3046.

    Full description at Econpapers || Download paper

47. Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-48.

    Full description at Econpapers || Download paper

48. Measuring downside risk — realised semivariance. (2008). Shephard, Neil ; Kinnebrock, Silja .
    In: CREATES Research Papers.
    RePEc:aah:create:2008-42.

    Full description at Econpapers || Download paper

49. Risk, Jumps, and Diversification. (2007). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-19.

    Full description at Econpapers || Download paper

50. Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks. (2007). Bollerslev, Tim ; Todorov, Viktor.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-15.

    Full description at Econpapers || Download paper

Report date: 2025-09-05 14:55:07 || Missing content? Let us know