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- W3121706475 abstract "We compare the suitability of short-memory models (ARMA), long-memory models (ARFIMA), and a GARCH model to describe the volatility of rare earth elements (REEs). We find strong support for the existence of long-memory effects. A simple long-memory ARFIMA (0, d, 0) baseline model shows generally superior accuracy both in- and out-of-sample, and is robust for various subsamples and estimation windows. Volatility forecasts produced by the baseline model also convey material forward-looking information for companies in the REEs industry. Thus, an active trading strategy based on REE volatility forecasts for these companies significantly outperforms a passive buy-and-hold strategy on both an absolute and a risk-adjusted return basis." @default.
- W3121706475 created "2021-02-01" @default.
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- W3121706475 creator A5030346967 @default.
- W3121706475 creator A5042053371 @default.
- W3121706475 date "2020-10-01" @default.
- W3121706475 modified "2023-10-16" @default.
- W3121706475 title "The economic importance of rare earth elements volatility forecasts" @default.
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- W3121706475 doi "https://doi.org/10.1016/j.irfa.2019.01.010" @default.
- W3121706475 hasPublicationYear "2020" @default.
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