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Long Memory in Asymmetric Dependence Between LME and Chinese Aluminum Futures

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  • 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
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    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.

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