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Quantitative Finance Volume 16, 2016 - Issue 12: Commodity Markets
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Research Papers

Volatility forecasting of strategically linked commodity ETFs: gold-silver

Štefan LyócsaInstitute of Economics and Management, University of Economics in Bratislava, Bratislava, SlovakiaCorrespondence[email protected]
&
Peter MolnárUiS Business School, University of Stavanger, Stavanger, Norway
Pages 1809-1822 | Received 23 Dec 2015, Accepted 21 Jun 2016, Published online: 14 Sep 2016

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Riza Demirer, Konstantinos Gkillas, Rangan Gupta & Christian Pierdzioch. (2022) Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests. Journal of the Operational Research Society 73:8, pages 1755-1767.
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Articles from other publishers (18)

Chuxin Ye, Jiamin Lv, Yinsong Xue & Xingguo Luo. (2023) Intraday volatility predictability in china gold futures market: The case of last half-hour realized volatility forecasting. Finance Research Letters 58, pages 104022.
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Hardik A. Marfatia, Qiang Ji & Jiawen Luo. (2021) Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility. Journal of Forecasting 41:2, pages 383-404.
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Lykke Øverland Bergsli, Andrea Falk Lind, Peter Molnár & Michał Polasik. (2022) Forecasting volatility of Bitcoin. Research in International Business and Finance 59, pages 101540.
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Jiawen Luo, Tony Klein, Qiang Ji & Chenghan Hou. (2022) Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models. International Journal of Forecasting 38:1, pages 51-73.
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Tomáš Plíhal & Štefan Lyócsa. (2021) Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. International Review of Economics & Finance 71, pages 811-829.
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Qifeng Zhu, Miman You & Shan Wu. (2020) Forecasting Volatility with Time-Varying Coefficient Regressions. Discrete Dynamics in Nature and Society 2020, pages 1-13.
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Emawtee Bissoondoyal-Bheenick, Robert Brooks, Hung Xuan Do & Russell Smyth. (2020) Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. Energy Economics 86, pages 104689.
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Riza Demirer, Konstantinos Gkillas, Rangan Gupta & Christian Pierdzioch. (2019) Time-varying risk aversion and realized gold volatility. The North American Journal of Economics and Finance 50, pages 101048.
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Halvor Aarhus Aalborg, Peter Molnár & Jon Erik de Vries. (2019) What can explain the price, volatility and trading volume of Bitcoin?. Finance Research Letters 29, pages 255-265.
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Jone B. Horpestad, Štefan Lyócsa, Peter Molnár & Torbjørn B. Olsen. (2019) Asymmetric volatility in equity markets around the world. The North American Journal of Economics and Finance 48, pages 540-554.
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Milan Bašta & Peter Molnár. (2018) Long‐term dynamics of the VIX index and its tradable counterpart VXX. Journal of Futures Markets 39:3, pages 322-341.
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Štefan Lyócsa & Peter Molnár. (2018) Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. Energy 155, pages 462-473.
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Štefan Lyócsa, Peter Molnár & Neda Todorova. (2017) Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. Journal of International Financial Markets, Institutions and Money 51, pages 228-247.
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Štefan Lyócsa & Peter Molnár. (2017) The effect of non-trading days on volatility forecasts in equity markets. Finance Research Letters 23, pages 39-49.
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Samuel A. Vigne, Brian M. Lucey, Fergal A. O’Connor & Larisa Yarovaya. (2017) The financial economics of white precious metals — A survey. International Review of Financial Analysis 52, pages 292-308.
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Jone Horpestad, Stefan Lyocsa, Peter Molnár & Torbjørn Olsen. (2018) Asymmetric Volatility in Equity Markets Around the World. SSRN Electronic Journal.
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Stefan Lyocsa & Peter Molnnr. (2018) Exploiting Dependence: Day-Ahead Volatility Forecasting for Crude Oil and Natural Gas Exchange-Traded Funds. SSRN Electronic Journal.
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Stefan Lyocsa, Peter Molnnr & Neda Todorova. (2017) Volatility Forecasting of Non-Ferrous Metal Futures: Covariances, Covariates or Combinations?. SSRN Electronic Journal.
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