How has volatility in metals markets changed?

Mathematics and Computers in Simulation

Volumn 78, Issue 2-3, 2008, Pages 237-249

  Watkins, Clinton ^a   McAleer, Michael ^b  

^a RESERVE BANK OF NEW ZEALAND   (New Zealand)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Futures contract; GARCH; Industrial metals; Rolling models; Volatility forecasting

Indexed keywords

ALUMINUM; CONTRACTS; COPPER; MATHEMATICAL MODELS; ROLLING;

INDUSTRIAL METALS; ROLLING MODELS; VOLATILITY; VOLATILITY FORECASTING;

INDUSTRIAL APPLICATIONS;

EID: 43449101525     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2008.01.015     Document Type: Article

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