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Modelling time varying volatility spillovers and conditional correlations across commodity metal futures
16 references·3 citing·43 second hop
Modelling time varying volatility spillovers and conditional correlations across commodity metal futures (2017)Modelling time varying volatility spillov…Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…Does gold act as a hedge or a safe haven for stocks? A smooth transition approach (2014)Does gold act as a hedge or a…Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Correlations and volatility s…Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment (2010)Volatility behavior of oil, i…The macroeconomic determinants of volatility in precious metals markets (2010)The macroeconomic determinant…Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Global financial crisis, extr…Dynamics of oil price, precious metal prices, and exchange rate (2009)Dynamics of oil price, precio…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…A power GARCH examination of the gold market (2006)A power GARCH examination of …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…A test for constant correlations in a multivariate GARCH model (2000)A test for constant correlati…STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998)STRONG CONSISTENCY OF ESTIMAT…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Volatility spillover and hedging strategies between the European carbon emissions and energy markets (2023)Volatility spillover and hedg…Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics (2022)Corporate credit risk counter…Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects? (2021)Economic policy uncertainty a…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Bounds testing approaches to the analysis of level relationships (2001)Is gold a hedge or safe haven against oil price movements? (2013)Dynamic linkages among oil price, gold price, exchange rate, and stock market in India (2016)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Portfolio Selection (1952)An Introduction to Copulas (1999)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Modelling oil price and exchange rate co-movements (2011)Individual investor perceptions and behavior during the financial crisis (2012)Do global factors impact BRICS stock markets? A quantile regression approach (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)The Fundamentals of Commodity Futures Returns (2012)Financialization of Commodity Markets (2013)Momentum crashes (2016)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Long-Term Global Market Correlations (2001)Modeling and Forecasting Realized Volatility (2001)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)The Cross‐Section of Volatility and Expected Returns (2006)Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014)Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis (2016)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 2013Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold556 cited
  • 2009Dynamics of oil price, precious metal prices, and exchange rate504 cited
  • 1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS445 cited
  • 2000A test for constant correlations in a multivariate GARCH model441 cited
  • 2014Does gold act as a hedge or a safe haven for stocks? A smooth transition approach436 cited
  • 2010The macroeconomic determinants of volatility in precious metals markets395 cited

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  • 2006A power GARCH examination of the gold market386 cited
  • 2010Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment352 cited
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    • 2023Volatility spillover and hedging strategies between the European carbon emissions and energy markets81 cited
    • 2021Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?71 cited
    • 2022Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics28 cited