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Commonality in the LME Aluminium and Copper Volatility Processes through a FIGARCH lens

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Fecha
07/08/2008
Autor
Figuerola Ferretti Garrigues, Isabel Catalina
Gilbert, Christopher L.
Estado
info:eu-repo/semantics/publishedVersion
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Dynamic representation of spot and three-month aluminum and copper volatilities is considered. Aluminum and copper are the two most important metals traded in the London Metal Exchange. They share common business cycle factors and are traded under identical contract specifications. The bivariate FIGARCH model, which allows parsimonious representation of long memory volatility processes, is applied. The results show that spot and three-month aluminum and copper volatilities follow long memory processes, that they exhibit a common degree of fractional integration and that the processes are symmetric. However, there is no evidence that the processes are fractionally cointegrated. This high degree of commonality may result from the common LME trading process. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:935 962, 2008
 
URI
http://hdl.handle.net/11531/6540
Commonality in the LME Aluminium and Copper Volatility Processes through a FIGARCH lens
Tipo de Actividad
Artículos en revistas
ISSN
0270-7314
Palabras Clave
No procede
LME futures, fractional cointegration, FIGARCH, volatility
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