RT Generic
T1 Commonality in the LME aluminium and copper volatility processes through a Figarch lens
A1 Figuerola-Ferretti, Isabel
A1 Gilbert, Christopher L.
A2 Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, 
AB We consider dynamic representation of spot and three month aluminium andcopper volatilities. These are the two most important metals traded in theLondon Metal Exchange (LME). They share common business cycle factorsand are traded under identical contract specifications. We apply the bivariateFIGARCH model which allows parsimonious representation of longmemory volatility processes. Our results show that spot and three monthaluminium and copper volatilities follow long memory processes, that theyexhibit a common degree of fractional integration and that the processes aresymmetric. However, there is no evidence that the processes are fractionallycointegrated. This high degree of commonality may result from the commonLME trading process.
YR 2007
FD 2007-02
LK https://hdl.handle.net/10016/593
UL https://hdl.handle.net/10016/593
LA spa
DS e-Archivo
RD 4 may. 2024