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dc.contributor.authorFiguerola Ferretti Garrigues, Isabel Catalinaes-ES
dc.contributor.authorGilbert, Christopher L.es-ES
dc.date.accessioned2016-02-25T12:58:20Z
dc.date.available2016-02-25T12:58:20Z
dc.date.issued07/08/2008es_ES
dc.identifier.issn0270-7314es_ES
dc.identifier.urihttp://hdl.handle.net/11531/6540
dc.descriptionArtículos en revistases_ES
dc.description.abstractNo procedees-ES
dc.description.abstractDynamic 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, 2008en-GB
dc.format.mimetypeapplication/pdfes_ES
dc.language.isoes-ESes_ES
dc.rightses_ES
dc.rights.uries_ES
dc.sourceRevista: Journal of Futures Markets, Periodo: 1, Volumen: 28, Número: 10, Página inicial: 935, Página final: 962es_ES
dc.titleCommonality in the LME Aluminium and Copper Volatility Processes through a FIGARCH lenses_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.description.versioninfo:eu-repo/semantics/publishedVersiones_ES
dc.rights.holderEl Journal mantiene los derechos de autores_ES
dc.rights.accessRightsinfo:eu-repo/semantics/restrictedAccesses_ES
dc.keywordsNo procedees-ES
dc.keywordsLME futures, fractional cointegration, FIGARCH, volatilityen-GB


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