Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks

被引：118

作者：

Asai, Manabu ^{[1
]}

Gupta, Rangan ^{[2
]}

McAleer, Michael ^{[3
,4
,5
,6
,7
,8
]}

机构：

[1] Soka Univ, Fac Econ, Hachioji, Tokyo, Japan

[2] Univ Pretoria, Dept Econ, Pretoria, South Africa

[3] Asia Univ, Dept Finance, Taichung, Taiwan

[4] Univ Sydney, Business Sch, Discipline Business Analyt, Sydney, NSW, Australia

[5] Erasmus Univ, Erasmus Sch Econ, Econometr Inst, Rotterdam, Netherlands

[6] Univ Complutense Madrid, Dept Econ Anal, Madrid, Spain

[7] Univ Complutense Madrid, ICAE, Madrid, Spain

[8] Yokohama Natl Univ, Inst Adv Sci, Yokohama, Kanagawa, Japan

来源：

INTERNATIONAL JOURNAL OF FORECASTING | 2020年 / 36卷 / 03期

基金：

日本学术振兴会;

关键词：

Commodity markets; Co-volatility; Forecasting; Geopolitical risks; Jumps; Leverage effects; Spillover effects; Realized covariance; SAFE HAVEN; REALIZED VOLATILITY; MODEL; RETURNS; COMMODITY; MARKETS; HEDGE; FINANCIALIZATION; UNCERTAINTY; INVESTMENT;

D O I：

10.1016/j.ijforecast.2019.10.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2020 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

引用

页码：933 / 948

页数：16

共 68 条

[61] Is gold a hedge or safe haven against oil price movements? [J].