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Volatility transmission between gold and oil futures under structural breaks · Study

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ArticleVolatility transmission between gold and oil futures under structural breaks

Bradley T. Ewing2012

Article2012

Volatility transmission between gold and oil futures under structural breaks

Bradley T. Ewing · Farooq Malik

281 citations·0/0 files stored·International Review of Economics & Finance

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Market Dynamics and Volatility Economics of Agriculture and Food Markets Financial Risk and Volatility Modeling

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References

1995Multivariate Simultaneous Generalized ARCH 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2010Is gold a safe haven? International evidence 1998Modeling Asymmetric Comovements of Asset Returns 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures 1990Persistence in Variance, Structural Change, and the GARCH Model 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy

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2015Dynamic spillovers between commodity and currency markets 2020The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets 2020Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness 2013Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns 2017Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility

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2015Volatility spillovers between oil prices and the stock market under structural breaksarticle · 16 shared references 2010Estimating Volatility Persistence in Oil Prices Under Structural Breaksarticle · 12 shared references 2021Volatility spillover between exchange rate and stock returns under volatility shiftsarticle · 12 shared references 2017Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countriesarticle · 9 shared references 2005Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variancearticle · 9 shared references 2014Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange ratearticle · 9 shared references

Details

Year2012

Typearticle

Published2012-06-20

VenueInternational Review of Economics & Finance

ISSN-L1059-0560

Languageen

Citations281

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.iref.2012.06.008

openalex_workW2014673962

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2020Hedging oil price risk with gold during COVID-19 pandemic

2019Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals

2019Spillover network of commodity uncertainties