Dynamics and causality in distribution between spot and future precious metals: A copula approach

Talbi, Marwa; Peretti, Christian de; Belkacem, Lotfi

doi:10.1016/j.resourpol.2020.101645

Cited by 23 publications

(9 citation statements)

References 31 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…On the theoretical side, it is understood that the future market prices the spot market, considering the rationality of the investor to anticipate possible events in the market. Studies such as those by Talbi, Peretti and Belkacem [31]; Bernal-Ponce, Castillo-Ramirez and Venegas-Martinez [3]; Holmes and Otero [16] reinforce the above argument. Evidently, there is a strong long-term relationship between the spot market and the future and in the case of the Ibovespa indicator it is notorious.…”

Section: B the Study Variablesmentioning

confidence: 86%

The Brazilian Stock Market Indicator: Determinants to Measure Variation and Direction

Arevalo

Souza

Meurer

2020

IJSMS

View full text Add to dashboard Cite

The volatility has a great influence on agents' decision-making, therefore, measuring the degree and effect of the determining factors of the stock market indicator is of paramount importance. The study, based on the premise that assets with greater weight in the portfolio, as well as the foreign currency (dollar) quotation, can serve as predictors to assess the volatility of the indicator. For this purpose, an error correction model - VEC was used, starting from four explanatory variables defined and theoretically supported. The results show the importance of the autoregressive method, which is manifested by means of significant statistics to explain the variation and direction of Ibovespa. Although the importance of oil, iron ore and the dollar are determining variables, other factors such as cooperation agreements and / or stimuli aimed at the recovery of the economy cannot be neglected.

show abstract

Section: B the Study Variablesmentioning

confidence: 86%

The Brazilian Stock Market Indicator: Determinants to Measure Variation and Direction

Arevalo

Souza

Meurer

2020

IJSMS

View full text Add to dashboard Cite

show abstract

“…When it comes to supply and demand uncertainties, a large amount of information flow will make futures prices more volatile. If demand uncertainty is a relatively important factor, it is usually resolved just before the near futures contracts instead of distance contracts, leading to increased volatility as delivery approaches (Talbi et al., 2020). This high volatility prevailing on the expiry of futures contracts turns the futures price to be an unreliable estimate of the subsequent spot price.…”

Section: The Evolution Of Informational Efficiency From 1934 To 2020:...mentioning

confidence: 99%

What do we know about informational efficiency? Three puzzles and the new direction forward

Lau

2021

Journal of Economic Surveys

View full text Add to dashboard Cite

Informational efficiency generally indicates the prevailing market price of assets by focusing on the connection between market participants in reacting to the arrival of new information. However, several authors have suggested that uncorrelated trading strategies across markets are meant for traders who genuinely know the best. Our study aims to survey the most recent literature on informational efficiency. We examine the empirical literature on informational efficiency by discussing the findings from dual perspectives, namely price–volume and spot–futures relations. More research needs to be directed toward understanding how market efficiency responds to impending uncertainties in the real economy. By combining the findings of 109 studies from different financial markets, we discuss essential lessons from market microstructures and behavioral biases in decision‐making. Further, we identify three contentious issues yet to be explored in the literature. This study concludes by discussing a new direction for future research.

show abstract

“…Talbi et al applied the Copula theory to the precious metals market and studied the causal relationship between current and future returns of precious metals, which provides a reference for investors' preservation strategies. [22] Yang and Zheng studied the relationship between fund yield series based on the time-varying Copula model, which effectively measured the risk of yield series. [23] The polymerization process of polyester fibre has the characteristics of multiple variables, strong time varying and nonlinear.…”

Section: Introductionmentioning

confidence: 99%

Online prediction based on the Copula function for the intrinsic viscosity of polyester fibre

et al. 2022

View full text Add to dashboard Cite

The polymerization process, as the starting point of polyester fibre production, directly affects the fibre properties. However, the polymerization process has complex reaction mechanisms and involves many variables, making online modelling more challenging. In this paper, we introduce the Copula function into the modelling of the polymerization process. First, a feature selection method based on kernel principal component analysis (KPCA)-Copula is proposed, and then, the Copula function to obtain the nonlinear characteristics among the variables is used. On this basis, an online prediction model of intrinsic viscosity based on just-in-time learning (JITL) was established, that is, empirical Copula-JITL. In order to improve the computational efficiency of the empirical Copula-JITL, the t-Copula function is introduced. Furthermore, by combining the t-Copula function with the empirical Copula function, we get a JITL model based on the hybrid Copula function, that is, hybrid Copula-JITL. Finally, actual polymerization process data collected from fibre production are provided to demonstrate the effectiveness of the proposed algorithms.

show abstract

Dynamics and causality in distribution between spot and future precious metals: A copula approach

Cited by 23 publications

References 31 publications

The Brazilian Stock Market Indicator: Determinants to Measure Variation and Direction

The Brazilian Stock Market Indicator: Determinants to Measure Variation and Direction

What do we know about informational efficiency? Three puzzles and the new direction forward

Online prediction based on the Copula function for the intrinsic viscosity of polyester fibre

Contact Info

Product

Resources

About