Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks
| dc.contributor.author | Asai, Manabu | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | McAleer, Michael | |
| dc.date.accessioned | 2020-03-27T04:46:06Z | |
| dc.date.issued | 2020-07 | |
| dc.description.abstract | To forecast the covariance matrix for the returns of crude oil and gold futures, this paper examines the effects of leverage, jumps, spillovers, and geopolitical risks by using their respective realized covariance matrices. To guarantee the positive definiteness of the forecasts, we consider the full BEKK structure on the conditional Wishart model. By the specification, we can flexibly divide the direct and spillover effects of volatility feedback, negative returns, and jumps. The empirical analysis indicates the benefits of accommodating the spillover effects of negative returns, and the geopolitical risks indicator for modeling and forecasting the covariance matrix. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2021-07-01 | |
| dc.description.librarian | hj2020 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/ijforecast | en_ZA |
| dc.identifier.citation | Asai, M., Gupta, R. & McAleer, M. 2020, 'Forecasting volatility and co-volatility of crude oil and gold futures: effects of leverage, jumps, spillovers, and geopolitical risks', International Journal of Forecasting, vol. 36, no. 3, pp. 933-948. | en_ZA |
| dc.identifier.issn | 0169-2070 (print) | |
| dc.identifier.issn | 1872-8200 (online) | |
| dc.identifier.other | 10.1016/j.ijforecast.2019.10.003 | |
| dc.identifier.uri | http://hdl.handle.net/2263/73841 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2020 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in International Journal of Forecasting . Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in International Journal of Forecasting , vol. 36, no. 3, pp. 933-948, 2020. doi : 10.1016/j.ijforecast.2019.10.003. | en_ZA |
| dc.subject | Commodity markets | en_ZA |
| dc.subject | Co-volatility | en_ZA |
| dc.subject | Forecasting | en_ZA |
| dc.subject | Geopolitical risks (GPRs) | en_ZA |
| dc.subject | Jumps | en_ZA |
| dc.subject | Leverage effects | en_ZA |
| dc.subject | Spillover effects | en_ZA |
| dc.subject | Realized covariance | en_ZA |
| dc.title | Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks | en_ZA |
| dc.type | Postprint Article | en_ZA |