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Dependence of stock and commodity futures markets in China: Implications for portfolio investment
16 references·16 citing·46 second hopsampled
Dependence of stock and commodity futures markets in China: Implications for portfolio investment (2014)Dependence of stock and commodity futures…On the links between stock and commodity markets' volatility (2013)On the links between stock an…Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Is gold a safe haven or a hed…Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Correlations and volatility s…Financialization, crisis and commodity correlation dynamics (2012)Financialization, crisis and …Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…How Profitable Is Capital Structure Arbitrage? (2006)How Profitable Is Capital Str…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsApproximate Asymptotic P Values for StructuraS-Change Tests (1997)Approximate Asymptotic P Valu…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Risk and Return in Commodity Futures (1980)Risk and Return in Commodity …Multi-scale risk contagion among international oil market, Chinese commodity market and Chinese stock market: A MODWT-Vine quantile regression approach (2022)Multi-scale risk contagion am…The dynamics of carbon on green energy equity investment: quantile-on-quantile and quantile coherency approaches (2021)The dynamics of carbon on gre…Dynamic volatility spillovers and investment strategies between the Chinese stock market and commodity markets (2021)Dynamic volatility spillovers…The untold story of commodity futures in China (2019)The untold story of commodity…The role of jumps in the agricultural futures market on forecasting stock market volatility: New evidence (2019)The role of jumps in the agri…Financial crises and dynamic spillovers among Chinese stock and commodity futures markets (2019)Financial crises and dynamic …Does economic policy uncertainty matter for commodity market in China? Evidence from quantile regression (2019)Does economic policy uncertai…Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar (2019)Does Bitcoin hedge crude oil …Correlations and volatility spillovers between oil, natural gas, and stock prices in India (2019)Correlations and volatility s…The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses (2018)The time-varying linkages bet…Can stock market investors hedge energy risk? Evidence from Asia (2017)Can stock market investors he…Volatility spillover and hedging effectiveness among China and emerging Asian Islamic equity indexes (2016)Volatility spillover and hedg…On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes (2016)On the dynamic dependence bet…Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets (2016)Modeling Time-Varying Correla…A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets (2016)A time-varying copula approac…Precious metals, cereal, oil and stock market linkages and portfolio risk management: Evidence from Saudi Arabia (2015)Precious metals, cereal, oil …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Conditional Correlation (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Speculators, commodities and cross-market linkages (2013)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multivariate Simultaneous Generalized ARCH (1995)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Time Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)Volatility in Emerging Stock Markets (1999)Selection of estimation window in the presence of breaks (2006)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A CNN–LSTM model for gold price time-series forecasting (2020)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)The Strategic and Tactical Value of Commodity Futures (2006)The Fundamentals of Commodity Futures Returns (2012)Financialization of Commodity Markets (2013)“Options, Futures, and Other Derivatives” (2016)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Machine Learning in Banking Risk Management: A Literature Review (2019)
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References

  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 2012Financialization, crisis and commodity correlation dynamics650 cited
  • 2013On the links between stock and commodity markets' volatility559 cited
  • 2013Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold556 cited
  • 1997Approximate Asymptotic P Values for StructuraS-Change Tests520 cited
  • 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management515 cited
  • 2006How Profitable Is Capital Structure Arbitrage?

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476 cited
  • 1980Risk and Return in Commodity Futures416 cited
  • Cited by

    • 2019Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar168 cited
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    • 2018The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses112 cited
    • 2016On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes97 cited
    • 2019Does economic policy uncertainty matter for commodity market in China? Evidence from quantile regression85 cited
    • 2017Can stock market investors hedge energy risk? Evidence from Asia81 cited
    • 2022Multi-scale risk contagion among international oil market, Chinese commodity market and Chinese stock market: A MODWT-Vine quantile regression approach77 cited
    • 2019Correlations and volatility spillovers between oil, natural gas, and stock prices in India75 cited
    • 2019Financial crises and dynamic spillovers among Chinese stock and commodity futures markets74 cited
    • 2019The untold story of commodity futures in China65 cited
    • 2016Volatility spillover and hedging effectiveness among China and emerging Asian Islamic equity indexes62 cited
    • 2019The role of jumps in the agricultural futures market on forecasting stock market volatility: New evidence58 cited
    • 2016Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets55 cited
    • 2021The dynamics of carbon on green energy equity investment: quantile-on-quantile and quantile coherency approaches48 cited
    • 2016A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets43 cited