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Commodity and equity markets: Some stylized facts from a copula approach · Study

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ArticleCommodity and equity markets: Some stylized facts from a copula approach

Anne‐Laure Delatte2013

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Commodity and equity markets: Some stylized facts from a copula approach

Anne‐Laure Delatte · Claude Lopez

150 citations·0/0 files stored·Journal of Banking & 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

2002Dynamic Conditional Correlation 2001Extreme Correlation of International Equity Markets 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2006Facts and Fantasies about Commodity Futures 2006The Strategic and Tactical Value of Commodity Futures 2012Financialization, crisis and commodity correlation dynamics 1994Forecasting International Equity Correlations

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2015Precious metals, cereal, oil and stock market linkages and portfolio risk management: Evidence from Saudi Arabia 2016On the dynamic links between commodities and Islamic equity 2022Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications 2018Which is the safe haven for emerging stock markets, gold or the US dollar?2019Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?

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2012Commodity and Equity Markets: Some Stylized Facts from a Copula Approachpreprint · 15 shared references 2014Volatility returns with vengeance: Financial markets vs. commoditiesarticle · 9 shared references 2013Volatility spillovers in commodity marketsarticle · 8 shared references 2016On the dynamic links between commodities and Islamic equityarticle · 7 shared references 2020Diversification and portfolio theory: a reviewreview · 7 shared references 2015Dynamic convergence of commodity futures: Not all types of commodities are alikearticle · 7 shared references

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Year2013

Typearticle

Published2013-07-20

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations150

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.jbankfin.2013.06.012

openalex_workW2241677461

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2016

On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes

2020Risk spillover effects from global crude oil market to China’s commodity sectors

2015Dynamic convergence of commodity futures: Not all types of commodities are alike