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Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets
Artur Semeyutin
, Giray Gozgor
, Chi Keung Marco Lau
, Bing Xu
Teesside University International Business School
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peer-review
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Keyphrases
Oil Market
100%
Gold Market
100%
Idiosyncratic Jumps
100%
Cojumps
100%
Copper Market
100%
Diversification Benefits
75%
Portfolio Allocation
75%
Systematic Risk
50%
Risk-averse Investors
50%
High Correlation
25%
Specific Risk
25%
Oil Futures
25%
Non-diversifiable Risk
25%
Copper Futures
25%
Gold Futures
25%
Futures Prices
25%
Minimum Variance Portfolio
25%
Allocation Decisions
25%
Intraday Correlations
25%
Systematic Jump
25%
Economics, Econometrics and Finance
Investors
100%
Systematic Risk
100%
Variance Portfolio
50%