Precious metals under the microscope: a high-frequency analysis

DOI10.1080/14697688.2014.947313zbMath1398.62284OpenAlexW3126020129MaRDI QIDQ4683093

Massimiliano Caporin, Angelo Ranaldo, Gabriel G. Velo

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1409.pdf

zbMATH Keywords

high-frequency dataliquidityprecious metalscommonality in liquidityintradaily periodicity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Volatility forecasting of strategically linked commodity ETFs: gold-silver

Cites Work

• Financial econometric analysis at ultra-high frequency: Data handling concerns
• Generalised long-memory GARCH models for intra-daily volatility
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• Estimating a generalized long memory process
• Modelling and forecasting wind speed intensity for weather risk management
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• The Price Variability-Volume Relationship on Speculative Markets
• ON GENERALIZED FRACTIONAL PROCESSES
• A k-Factor GARMA Long-memory Model
• Forecasting Temperature Indices Density with Time‐Varying Long‐Memory Models

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