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Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals

This paper researches two volatility transmission phenomena that take place within (‘heat wave’) and between (‘meteor shower’) spot and futures markets of four precious metals—gold, silver, platinum and palladium. We create conditional volatilities by considering three types of Markov switching GARC...

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Detalles Bibliográficos
Autores principales: Živkov, Dejan, Manić, Slavica, Pavkov, Ivan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8536482/
https://www.ncbi.nlm.nih.gov/pubmed/34720364
http://dx.doi.org/10.1007/s00181-021-02148-7