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Dynamic connectedness and optimal hedging strategy among commodities and financial indices · Study

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ArticleDynamic connectedness and optimal hedging strategy among commodities and financial indices

Néjib Hachicha2022

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Articlebronze2022

Dynamic connectedness and optimal hedging strategy among commodities and financial indices

Néjib Hachicha · Amine Ben Amar · Ikrame Ben Slimane · Makram Bellalah · Jean‐Luc Prigent

29 citations·0/0 files stored·International Review of Financial Analysis

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

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References

1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

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2024Global financial risk and market connectedness: An empirical analysis of COVOL and major financial markets

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Details

Year2022

Typearticle

Published2022-07-09

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations29

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.irfa.2022.102290

openalex_workW4284960255

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