Open AccessAsymmetric Momentum Threshold Effect of Copper Futures Returns on Spot Returns Volatility in London Metals Exchange under High Volatility
Author(s) -
Yeong Jia Goo,
Chih Chang Chen
Publication year - 2020
Publication title -
modern economy
Language(s) - English
Resource type - Journals
eISSN - 2152-7245
pISSN - 2152-7261
DOI - 10.4236/me.2020.111006
Subject(s) - futures contract , economics , volatility (finance) , forward volatility , financial economics , momentum (technical analysis) , spot market , spot contract , econometrics , autoregressive model , autoregressive conditional heteroskedasticity , volatility smile , physics , electricity , quantum mechanics
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