An empirical study on information spillover effects between the Chinese copper futures market and spot market

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 4, 2008, Pages 899-914

  Liu, Xiangli ^a,b   Cheng, Siwei ^b   Wang, Shouyang ^b   Hong, Yongmiao ^c   Li, Yi ^b  

^a BEIJING INFORMATION TECHNOLOGY INSTITUTE   (China)

^b UNIVERSITY OF CHINESE ACADEMY OF SCIENCES   (China)

^c Cornell University ^*  (United States)

Author keywords

Backtest; Conditional VaR; Extreme downside risk; Extreme upside risk; Futures market; Granger causality; Information spillover; Kernel function

Indexed keywords

ADMINISTRATIVE DATA PROCESSING; COPPER; INDUSTRIAL ECONOMICS; INFORMATION SYSTEMS; MATHEMATICAL MODELS;

BACKTEST; EXTREME DOWNSIDE RISKS; EXTREME UPSIDE RISKS; FUTURES MARKETS; GRANGER CAUSALITY; INFORMATION SPILLOVER; KERNEL FUNCTION;

INFORMATION DISSEMINATION;

EID: 36649022270     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.09.044     Document Type: Article

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