Jian-Bai Huang,Xi Chen,Yi Song
Jian-Bai Huang
The expansion of trade has not only increased imports and exports, but also increased metal consumption embodied in them. Based on China's input-output tables from 1997 to 2017, this study uses structural decomposition analysis (SDA) to ana...
The predictive power of oil price shocks on realized volatility of oil: A note [0.03%]
油价冲击对油价实现波动性的预测能力——一则注记
Riza Demirer,Rangan Gupta,Christian Pierdzioch et al.
Riza Demirer et al.
This paper examines the predictive power of oil supply, demand and risk shocks over the realized volatility of intraday oil returns. Utilizing the heterogeneous autoregressive realized volatility (HAR-RV) framework, we show that all shock t...
Is the relationship between oil-gas prices index and economic growth in Turkey permanent? [0.03%]
土耳其油气价格指数与经济增长之间的关系是永久的吗？
Mustafa Kırca,Şerif Canbay,Kerem Pirali
Mustafa Kırca
Oil and gas are the most important inputs that countries use in their production process. For this reason, changes in oil-gas prices affect economic growth, which is the most important macroeconomic performance indicator. This study aims to...
Intraday return predictability: Evidence from commodity ETFs and their related volatility indices [0.03%]
基于商品ETF和波动率指数的日内收益可预测性研究
Yahua Xu,Elie Bouri,Tareq Saeed et al.
Yahua Xu et al.
Using high-frequency data of crude oil, gold, and silver exchange-traded funds (ETFs) and their related volatility indices, we analyse patterns of intraday return predictability, also called intraday momentum, in each market. We find that i...
Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices [0.03%]
新冠疫情对金价与油价不对称多分形的影响
Walid Mensi,Ahmet Sensoy,Xuan Vinh Vo et al.
Walid Mensi et al.
This paper examines the impacts of COVID-19 on the multifractality of gold and oil prices based on upward and downward trends. We apply the Asymmetric Multifractal Detrended Fluctuation Analysis (A-MF-DFA) approach to 15-min interval intrad...
Determinants of gold price movements: An empirical investigation in the presence of multiple structural breaks [0.03%]
黄金价格变动的影响因素：多重结构变化下的实证研究
Themba G Chirwa,Nicholas M Odhiambo
Themba G Chirwa
This study investigates the short- and long-run determinants of gold price movements in financial markets by taking into account multiple structural breakpoints using an ARDL-based error correction approach. The study used daily time series...
Macro factors and the realized volatility of commodities: A dynamic network analysis [0.03%]
宏观经济因素与大宗商品的已实现波动率：动态网络分析
Min Hu,Dayong Zhang,Qiang Ji et al.
Min Hu et al.
This paper explores the relationship between macro-factors and the realized volatility of commodity futures. Three main commodities-soybeans, gold and crude oil-are investigated using high-frequency data. For macro factors, we select six in...
The tail dependence structure between investor sentiment and commodity markets [0.03%]
投资者情绪与大宗商品市场的尾部依赖关系结构分析
Aktham Maghyereh,Hussein Abdoh
Aktham Maghyereh
A growing body of literature considers investor sentiment as the partial driver of change in commodity prices. In contrast with previous studies that have almost exclusively focused on linear relationship, this empirical paper investigates ...
Establishing and comparing energy security trends in resource-rich exporting nations (Russia and the Caspian Sea region) [0.03%]
资源丰富的出口国（俄罗斯和里海地区）的能源安全趋势的确立与比较
Marat Karatayev,Stephen Hall
Marat Karatayev
In the international arena, it is often the case that in countries which largely depend on foreign resources, energy security, and its key components i.e. security of energy supply, environment, technology, geopolitical and economic factors...
Macroeconomic factors and frequency domain causality between Gold and Silver returns in India [0.03%]
印度宏观经济因素与黄金和白银收益的频域因果关系
Ashis Kumar Pradhan,Bibhuti Ranjan Mishra,Aviral Kumar Tiwari et al.
Ashis Kumar Pradhan et al.
This paper examines the relationship between gold and silver returns in India, using monthly data for the period May 1991 to June 2018. To this end, we employ the recently developed frequency domain rolling-window analysis (which is able to...