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ArticleFinancialization, crisis and commodity correlation dynamics

Annastiina Silvennoinen2012

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Articlegreen2012

Financialization, crisis and commodity correlation dynamics

Annastiina Silvennoinen · Susan Thorp

650 citations·0/0 files stored·Journal of International Financial Markets Institutions and Money

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Market Dynamics and Volatility Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 1998Modeling Asymmetric Comovements of Asset Returns 2006Facts and Fantasies about Commodity Futures 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations 1992On the Behaviour of Commodity Prices 2001Contagion as a Wealth Effect

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2013Speculators, commodities and cross-market linkages 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets 2013On the links between stock and commodity markets' volatility 2013Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold 2013The Role of Speculation in Oil Markets: What Have We Learned So Far?2011

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Details

Year2012

Typearticle

Published2012-12-05

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations650

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.intfin.2012.11.007

openalex_workW1582000793

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