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Volatility of a Market Index and its Components: An Application to Commodity Markets

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  • Clinton WATKINS
  • Michael McALEER

Abstract

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  • Clinton WATKINS & Michael McALEER, 2002. "Volatility of a Market Index and its Components: An Application to Commodity Markets," Computing in Economics and Finance 2002 18, Society for Computational Economics.
    • Handle: RePEc:sce:scecf2:18
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    References listed on IDEAS

    as
    1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    2. C. Brunetti & C.L. Gilbert, 1996. "Are Metals Prices Becoming More Volatile?," Working Papers 347, Queen Mary University of London, School of Economics and Finance.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Dipankor Coondoo & Paramita Mukherjee, 2004. "Components of volatility and their empirical measures: a note," Applied Financial Economics, Taylor & Francis Journals, vol. 14(18), pages 1313-1318.

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    More about this item

    Keywords

    cross-sectional aggregation; GARCH; index contracts; volatility.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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