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Dynamic connectedness and optimal hedging strategy among commodities and financial indices
16 references·1 citing·32 second hop
Dynamic connectedness and optimal hedging strategy among commodities and financial indices (2022)Dynamic connectedness and optimal hedging…Spillover of COVID-19: Impact on the Global Economy (2020)Spillover of COVID-19: Impact…Modeling financial contagion using mutually exciting jump processes (2015)Modeling financial contagion …On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Financialization of Commodity Markets (2013)Financialization of Commodity…Financialization, crisis and commodity correlation dynamics (2012)Financialization, crisis and …Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesMeasuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…The Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…Global financial risk and market connectedness: An empirical analysis of COVOL and major financial markets (2024)Global financial risk and mar…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)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)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Testing for a Unit Root in Time Series Regression (1988)Modeling Asymmetric Comovements of Asset Returns (1998)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)The robustness of identified VAR conclusions about money (1998)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Is gold a safe haven? International evidence (2010)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)SRISK: A conditional capital shortfall measure of systemic risk (2017)Extreme Correlation of International Equity Markets (2001)
this work references cited by second hop

References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2020Spillover of COVID-19: Impact on the Global Economy1,403 cited
  • 2008Understanding Crude Oil Prices1,270 cited
  • 2013Financialization of Commodity Markets808 cited
  • 2012Financialization, crisis and commodity correlation dynamics650 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures

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617 cited
  • 2015Modeling financial contagion using mutually exciting jump processes576 cited
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    • 2024Global financial risk and market connectedness: An empirical analysis of COVOL and major financial markets27 cited