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Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning
16 references·0 citing·39 second hop
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References

  • 1998Confirmation Bias: A Ubiquitous Phenomenon in Many Guises7,230 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2020Safe haven or risky hazard? Bitcoin during the Covid-19 bear market832 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 2012Financialization, crisis and commodity correlation dynamics650 cited
  • 2002A simple framework for analysing bull and bear markets593 cited
  • 2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements558 cited
  • 2011Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis550 cited
  • 2012Volatility spillover between oil and agricultural commodity markets539 cited
  • 2018Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold526 cited
  • 1998An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching406 cited
  • 2010The crude oil market and the gold market: Evidence for cointegration, causality and price discovery405 cited

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  • 2010The macroeconomic determinants of volatility in precious metals markets395 cited
  • 2010Correlation, hierarchies, and networks in financial markets381 cited
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