IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v36y2016i3p267-294.html
   My bibliography  Save this article

Long Memory in Asymmetric Dependence Between LME and Chinese Aluminum Futures

Author

Listed:
  • Yuting Gong
  • Xu Zheng

Abstract

The co‐dependence of many asset returns has been shown to be asymmetric and to follow long memory dynamics in recent studies. To capture the two features simultaneously, based on Hafner and Manner (2012), we propose the new model of fractionally integrated stochastic copula allowing for long memory in the evolution of co‐dependence. In the empirical analysis, the aluminum futures markets of London Metal Exchange and Shanghai Futures Exchange were shown to have stronger co‐dependence in market downturns than in upturns, and long memory was present in the dynamics of both upper and lower‐tail dependence. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:267–294, 2016

Suggested Citation

  • Yuting Gong & Xu Zheng, 2016. "Long Memory in Asymmetric Dependence Between LME and Chinese Aluminum Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(3), pages 267-294, March.
    • Handle: RePEc:wly:jfutmk:v:36:y:2016:i:3:p:267-294
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ying Jiang & Neil Kellard & Xiaoquan Liu, 2020. "Night trading and market quality: Evidence from Chinese and US precious metal futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1486-1507, October.
    2. Gong, Yuting & Chen, Qiang & Liang, Jufang, 2018. "A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets," Economic Modelling, Elsevier, vol. 68(C), pages 586-598.
    3. Mokni, Khaled & Mansouri, Faysal, 2017. "Conditional dependence between international stock markets: A long memory GARCH-copula model approach," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 116-131.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:36:y:2016:i:3:p:267-294. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.