Annastiina Silvennoinen
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022.
"A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model,"
CREATES Research Papers
2022-01, Department of Economics and Business Economics, Aarhus University.
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model," Econometrics, MDPI, vol. 10(3), pages 1-41, August.
Cited by:
- Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2023. "Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks," Econometrics, MDPI, vol. 11(1), pages 1-37, February.
- Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021.
"Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model,"
CREATES Research Papers
2021-13, Department of Economics and Business Economics, Aarhus University.
Cited by:
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022.
"A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model,"
CREATES Research Papers
2022-01, Department of Economics and Business Economics, Aarhus University.
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model," Econometrics, MDPI, vol. 10(3), pages 1-41, August.
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022.
"A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model,"
CREATES Research Papers
2022-01, Department of Economics and Business Economics, Aarhus University.
- Stan Hurn & Nicholas Johnson & Annastiina Silvennoinen & Timo Teräsvirta, 2018.
"Transition from the Taylor rule to the zero lower bound,"
CREATES Research Papers
2018-31, Department of Economics and Business Economics, Aarhus University.
- Hurn Stan & Johnson Nicholas & Silvennoinen Annastiina & Teräsvirta Timo, 2022. "Transition from the Taylor rule to the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(5), pages 635-647, December.
Cited by:
- Vito Polito, 2020. "Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective," CESifo Working Paper Series 8060, CESifo.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018.
"Models with Multiplicative Decomposition of Conditional Variances and Correlations,"
CREATES Research Papers
2018-14, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
Cited by:
- Feng, Yuanhua & Härdle, Wolfgang Karl, 2020. "A data-driven P-spline smoother and the P-Spline-GARCH models," IRTG 1792 Discussion Papers 2020-016, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Wu, Xinyu & Xie, Haibin, 2021. "A realized EGARCH-MIDAS model with higher moments," Finance Research Letters, Elsevier, vol. 38(C).
- Conrad, Christian & Schienle, Melanie, 2019.
"Testing for an omitted multiplicative long-term component in GARCH models,"
Working Paper Series in Economics
121, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Christian Conrad & Melanie Schienle, 2020. "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 229-242, April.
- Annastiina Silvennoinen & Timo Teräsvirta, 2017.
"Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model,"
CREATES Research Papers
2017-28, Department of Economics and Business Economics, Aarhus University.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2024. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," Econometrics and Statistics, Elsevier, vol. 32(C), pages 57-72.
Cited by:
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018.
"Models with Multiplicative Decomposition of Conditional Variances and Correlations,"
CREATES Research Papers
2018-14, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
- Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
- Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
- He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2024.
"Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model,"
Journal of Econometrics, Elsevier, vol. 239(1).
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019. "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," CREATES Research Papers 2019-18, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017.
"Modelling and forecasting WIG20 daily returns,"
CREATES Research Papers
2017-29, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017. "Modelling and Forecasting WIG20 Daily Returns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 173-200, September.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," NIPE Working Papers 09/2017, NIPE - Universidade do Minho.
Cited by:
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018.
"Models with Multiplicative Decomposition of Conditional Variances and Correlations,"
CREATES Research Papers
2018-14, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
- Mazur Błażej & Pipień Mateusz, 2018. "Time-varying asymmetry and tail thickness in long series of daily financial returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-21, December.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017.
"Modelling and forecasting WIG20 daily returns,"
CREATES Research Papers
2017-29, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017. "Modelling and Forecasting WIG20 Daily Returns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 173-200, September.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," NIPE Working Papers 09/2017, NIPE - Universidade do Minho.
- Paulo Soares Esteves & Miguel Portela & António Rua, 2022.
"Does Domestic Demand Matter for Firms’ Exports?,"
Open Economies Review, Springer, vol. 33(2), pages 311-332, April.
- Paulo Soares Esteves & Miguel Portela & António Rua, 2018. "Does domestic demand matter for firms’ exports?," NIPE Working Papers 18/2018, NIPE - Universidade do Minho.
- António Rua & Paulo Esteves & Miguel Portela, 2018. "Does domestic demand matter for firms’ exports?," Working Papers w201826, Banco de Portugal, Economics and Research Department.
- Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2023. "Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks," Econometrics, MDPI, vol. 11(1), pages 1-37, February.
- Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
- Annastiina Silvennoinen & Timo Teräsvirta, 2015.
"Testing constancy of unconditional variance in volatility models by misspecification and specification tests,"
CREATES Research Papers
2015-47, Department of Economics and Business Economics, Aarhus University.
- Silvennoinen Annastiina & Teräsvirta Timo, 2016. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 347-364, September.
- Annastiina Silvennoinen & Timo Terasvirta, 2015. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," NCER Working Paper Series 108, National Centre for Econometric Research.
Cited by:
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2024.
"Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model,"
Econometrics and Statistics, Elsevier, vol. 32(C), pages 57-72.
- Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," CREATES Research Papers 2017-28, Department of Economics and Business Economics, Aarhus University.
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019.
"Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model,"
CREATES Research Papers
2019-19, Department of Economics and Business Economics, Aarhus University.
- He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2021. "Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model," Energy Economics, Elsevier, vol. 97(C).
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017.
"Modelling and forecasting WIG20 daily returns,"
CREATES Research Papers
2017-29, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017. "Modelling and Forecasting WIG20 Daily Returns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 173-200, September.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," NIPE Working Papers 09/2017, NIPE - Universidade do Minho.
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2018.
"The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016,"
CREATES Research Papers
2018-15, Department of Economics and Business Economics, Aarhus University.
- He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2019. "The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016," Econometrics and Statistics, Elsevier, vol. 12(C), pages 1-24.
- Fonseca, Thais C O & Cerqueira, Vinicius S & Migon, Helio S & Torres, Christian A C, 2021. "Evaluating the performance of degrees of freedom estimation in asymmetric GARCH models with t-student innovations," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 40(2), April.
- Conrad, Christian & Schienle, Melanie, 2019.
"Testing for an omitted multiplicative long-term component in GARCH models,"
Working Paper Series in Economics
121, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Christian Conrad & Melanie Schienle, 2020. "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 229-242, April.
- Pape, Katharina & Wied, Dominik & Galeano, Pedro, 2016. "Monitoring multivariate variance changes," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 54-68.
- Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
- Annastiina Silvennoinen & Susan Thorp, 2015.
"Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics,"
NCER Working Paper Series
109, National Centre for Econometric Research.
- Annastiina Silvennoinen & Susan Thorp, 2016. "Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 522-544, June.
Cited by:
- Haiying Wang & Ying Yuan & Tianyang Wang, 2021. "The dynamics of cross‐boundary fire—Financial contagion between the oil and stock markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1655-1673, October.
- Leong, Soon Heng, 2021. "Global crude oil and the Chinese oil-intensive sectors: A comprehensive causality study," Energy Economics, Elsevier, vol. 103(C).
- Aviral Kumar Tiwari & Micheal Kofi Boachie & Tahir Suleman & Rangan Gupta, 2020.
"Structure Dependence between Oil and Agricultural Commodities Returns: The Role of Geopolitical Risks,"
Working Papers
202079, University of Pretoria, Department of Economics.
- Tiwari, Aviral Kumar & Boachie, Micheal Kofi & Suleman, Muhammed Tahir & Gupta, Rangan, 2021. "Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks," Energy, Elsevier, vol. 219(C).
- Naeem, Muhammad Abubakr & Hasan, Mudassar & Arif, Muhammad & Suleman, Muhammad Tahir & Kang, Sang Hoon, 2022. "Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications," Energy Economics, Elsevier, vol. 105(C).
- Tang, Yusui & Ma, Feng, 2023. "The volatility of natural resources implications for sustainable development: Crude oil volatility prediction based on the multivariate structural regime switching," Resources Policy, Elsevier, vol. 83(C).
- Serletis, Apostolos & Xu, Libo, 2019. "The ethanol mandate and crude oil and biofuel agricultural commodity price dynamics," Journal of Commodity Markets, Elsevier, vol. 15(C), pages 1-1.
- Iuga, Iulia Cristina & Mudakkar, Syeda Rabab & Dragolea, Larisa Loredana, 2024. "Agricultural commodities market reaction to COVID-19," Research in International Business and Finance, Elsevier, vol. 69(C).
- Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
- Pal, Debdatta & Mitra, Subrata K., 2019. "Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops," Economic Modelling, Elsevier, vol. 82(C), pages 453-466.
- Dahl, Roy Endré & Oglend, Atle & Yahya, Muhammad, 2020. "Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture," Journal of Commodity Markets, Elsevier, vol. 20(C).
- Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Economic cycles and downside commodities risk," Applied Economics Letters, Taylor & Francis Journals, vol. 25(4), pages 258-263, February.
- Yu, Hongchu & Fang, Zhixiang & Lu, Feng & Murray, Alan T. & Zhang, Hengcai & Peng, Peng & Mei, Qiang & Chen, Jinhai, 2019. "Impact of oil price fluctuations on tanker maritime network structure and traffic flow changes," Applied Energy, Elsevier, vol. 237(C), pages 390-403.
- Clark Lundberg & Tristan Skolrud & Bahram Adrangi & Arjun Chatrath, 2021. "Oil Price Pass through to Agricultural Commodities†," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 721-742, March.
- Hardik A. Marfatia & Qiang Ji & Jiawen Luo, 2022. "Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 383-404, March.
- Eissa, Mohamad Abdelaziz & Al Refai, Hisham, 2019. "Modelling the symmetric and asymmetric relationships between oil prices and those of corn, barley, and rapeseed oil," Resources Policy, Elsevier, vol. 64(C).
- Qian, Lihua & Zeng, Qing & Li, Tao, 2022. "Geopolitical risk and oil price volatility: Evidence from Markov-switching model," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 29-38.
- Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A. & Fijorek, Kamil, 2018.
"What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets,"
Economics Discussion Papers
2018-55, Kiel Institute for the World Economy (IfW Kiel).
- Śmiech, Sławomir & Papież, Monika & Fijorek, Kamil & Dąbrowski, Marek A., 2019. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-32.
- Liu, Pan & Vedenov, Dmitry & Power, Gabriel J., 2020. "Commodity financialization and sector ETFs: Evidence from crude oil futures," Research in International Business and Finance, Elsevier, vol. 51(C).
- Mishra, Aswini Kumar & Arunachalam, Vairam & Olson, Dennis & Patnaik, Debasis, 2023. "Dynamic connectedness in commodity futures markets during Covid-19 in India: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 82(C).
- Chen, Peng & He, Limin & Yang, Xuan, 2021. "On interdependence structure of China's commodity market," Resources Policy, Elsevier, vol. 74(C).
- Conlon, Thomas & Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2024. "Seeking a shock haven: Hedging extreme upward oil price changes," International Review of Financial Analysis, Elsevier, vol. 94(C).
- Jiawen Luo & Langnan Chen, 2019. "Multivariate realized volatility forecasts of agricultural commodity futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1565-1586, December.
- Ugur Korkut Pata & Ojonugwa Usman & Godwin Olasehinde-Williams & Oktay Ozkan, 2024. "Stock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Test," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(3), pages 779-797, September.
- Yahya, Muhammad & Dutta, Anupam & Bouri, Elie & Wadström, Christoffer & Uddin, Gazi Salah, 2022. "Dependence structure between the international crude oil market and the European markets of biodiesel and rapeseed oil," Renewable Energy, Elsevier, vol. 197(C), pages 594-605.
- Subrata K. Mitra & Debdatta Pal, 2024. "Role of Crude Oil in Determining the Price of Corn in the United States: A Non-parametric Approach," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(2), pages 395-420, June.
- Gazi Salah Uddin & Maziar Sahamkhadam & Muhammad Yahya & Ou Tang, 2023. "Investment opportunities in the energy market: What can be learnt from different energy sectors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3611-3636, October.
- A.S. Hurn & Annastiina Silvennoinen & Timo Teräsvirta, 2014.
"A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market,"
CREATES Research Papers
2014-09, Department of Economics and Business Economics, Aarhus University.
- A. Stan Hurn & Annastiina Silvennoinen & Timo Teräsvirta, 2016. "A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 707-733, June.
- A S Hurn & Annastiina Silvennoinen & Timo Terasvirta, 2014. "A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market," NCER Working Paper Series 100, National Centre for Econometric Research.
Cited by:
- Wei Wei & Asger Lunde, 2023. "Identifying Risk Factors and Their Premia: A Study on Electricity Prices," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1647-1679.
- Murat Midilic, 2016. "Estimation Of Star-Garch Models With Iteratively Weighted Least Squares," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 16/918, Ghent University, Faculty of Economics and Business Administration.
- Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
- González, Andrés & Teräsvirta, Timo & van Dijk, Dick & Yang, Yukai, 2005.
"Panel Smooth Transition Regression Models,"
SSE/EFI Working Paper Series in Economics and Finance
604, Stockholm School of Economics, revised 11 Oct 2017.
- Andres Gonzalez & Timo Terasvirta & Dick van Dijk, 2005. "Panel Smooth Transition Regression Models," Research Paper Series 165, Quantitative Finance Research Centre, University of Technology, Sydney.
- Andrés González & Timo Teräsvirta & Dick van Dijk & Yukai Yang, 2017. "Panel Smooth Transition Regression Models," CREATES Research Papers 2017-36, Department of Economics and Business Economics, Aarhus University.
- Lin Han & Ivor Cribben & Stefan Trueck, 2022. "Extremal Dependence in Australian Electricity Markets," Papers 2202.09970, arXiv.org.
- Csereklyei, Zsuzsanna & Khezr, Peyman, 2024. "How do changes in settlement periods affect wholesale market prices? Evidence from Australia's National Electricity Market," Energy Economics, Elsevier, vol. 132(C).
- Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
- Apergis, Nicholas & Polemis, Michael, 2018. "Electricity supply shocks and economic growth across the US states: evidence from a time-varying Bayesian panel VAR model, aggregate and disaggregate energy sources," MPRA Paper 84954, University Library of Munich, Germany.
- Wei Wei & Asger Lunde, 2020. "Identifying Risk Factors and Their Premia: A Study on Electricity Prices," Monash Econometrics and Business Statistics Working Papers 10/20, Monash University, Department of Econometrics and Business Statistics.
- Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Rai, Alan & Konstandatos, Otto, 2022. "Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies," Energy Economics, Elsevier, vol. 115(C).
- Urbina, Jilber, 2016. "Crecimiento del crédito en Nicaragua, ¿Crecimiento natural o boom crediticio? [Credit growth in Nicaragua: Natural growth or credit boom?]," MPRA Paper 75577, University Library of Munich, Germany, revised Nov 2016.
- Mardi Dungey & Ali Ghahremanlou & Ngo Van Long, 2017. "Strategic Bidding of Electric Power Generating Companies: Evidence from the Australian National Energy Market," CESifo Working Paper Series 6819, CESifo.
- Manner, Hans & Türk, Dennis & Eichler, Michael, 2016. "Modeling and forecasting multivariate electricity price spikes," Energy Economics, Elsevier, vol. 60(C), pages 255-265.
- Grossi, Luigi & Heim, Sven & Waterson, Michael, 2017. "The impact of the German response to the Fukushima earthquake," Energy Economics, Elsevier, vol. 66(C), pages 450-465.
- Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2013.
"On the Benefits of Equicorrelation for Portfolio Allocation,"
NCER Working Paper Series
99, National Centre for Econometric Research.
Cited by:
- Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2019. "Volatility-dependent correlations: further evidence of when, where and how," Empirical Economics, Springer, vol. 57(2), pages 505-540, August.
- Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2016. "Volatility Dependent Dynamic Equicorrelation," NCER Working Paper Series 111, National Centre for Econometric Research.
- Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min, 2017. "Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets," Energy Economics, Elsevier, vol. 62(C), pages 19-32.
- Annastiina Silvennoinen & Timo Teräsvirta, 2012.
"Modelling conditional correlations of asset returns: A smooth transition approach,"
CREATES Research Papers
2012-09, Department of Economics and Business Economics, Aarhus University.
- Annastiina Silvennoinen & Timo Ter�svirta, 2015. "Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 174-197, February.
Cited by:
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2024.
"Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model,"
Econometrics and Statistics, Elsevier, vol. 32(C), pages 57-72.
- Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," CREATES Research Papers 2017-28, Department of Economics and Business Economics, Aarhus University.
- Ohashi, Kazuhiko & Okimoto, Tatsuyoshi, 2016.
"Increasing trends in the excess comovement of commodity prices,"
Journal of Commodity Markets, Elsevier, vol. 1(1), pages 48-64.
- OHASHI Kazuhiko & OKIMOTO Tatsuyoshi, 2013. "Increasing Trends in the Excess Comovement of Commodity Prices," Discussion papers 13048, Research Institute of Economy, Trade and Industry (RIETI).
- Kazuhiko Ohashi & Tatsuyoshi Okimoto, 2016. "Increasing Trends in the Excess Comovement of Commodity Prices," CAMA Working Papers 2016-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Heejoon Han & Dennis Kristensen, 2012.
"Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates,"
CREATES Research Papers
2012-25, Department of Economics and Business Economics, Aarhus University.
- Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers CWP18/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers 18/13, Institute for Fiscal Studies.
- João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018.
"Models with Multiplicative Decomposition of Conditional Variances and Correlations,"
CREATES Research Papers
2018-14, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
- Chuffart, Thomas, 2022. "Interest in cryptocurrencies predicts conditional correlation dynamics," Finance Research Letters, Elsevier, vol. 46(PA).
- Saart, Patrick W. & Xia, Yingcun, 2022. "Functional time series approach to analyzing asset returns co-movements," Journal of Econometrics, Elsevier, vol. 229(1), pages 127-151.
- Zanetti Chini, Emilio, 2018.
"Forecasting dynamically asymmetric fluctuations of the U.S. business cycle,"
International Journal of Forecasting, Elsevier, vol. 34(4), pages 711-732.
- Emilio Zanetti Chini, 2018. "Forecasting dynamically asymmetric fluctuations of the U.S. business cycle," CREATES Research Papers 2018-13, Department of Economics and Business Economics, Aarhus University.
- Emilio Zanetti Chini, 2018. "Forecasting dynamically asymmetric fluctuations of the U.S. business cycle," DEM Working Papers Series 156, University of Pavia, Department of Economics and Management.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015.
"Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix),"
AMSE Working Papers
1516, Aix-Marseille School of Economics, France.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," Working Papers halshs-01133751, HAL.
- Tarciso Gouveia da Silva & Osmani Teixeira de Carvalho Guillén & George Augusto Noronha Morcerf & Andre de Melo Modenesi, 2020. "Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17)," Working Papers Series 536, Central Bank of Brazil, Research Department.
- Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
- BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013.
"Multivariate volatility modeling of electricity futures,"
LIDAM Reprints CORE
2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
- Bauwens, Luc & Hafner, Christian M. & Pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," SFB 649 Discussion Papers 2011-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019.
"Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model,"
CREATES Research Papers
2019-19, Department of Economics and Business Economics, Aarhus University.
- He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2021. "Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model," Energy Economics, Elsevier, vol. 97(C).
- Annastiina Silvennoinen & Susan Thorp, 2015.
"Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics,"
NCER Working Paper Series
109, National Centre for Econometric Research.
- Annastiina Silvennoinen & Susan Thorp, 2016. "Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 522-544, June.
- BAUWENS, Luc & otranto, EDOARDO, 2013.
"Modeling the dependence of conditional correlations on volatility,"
LIDAM Discussion Papers CORE
2013014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- L. Bauwens & E. Otranto, 2013. "Modeling the Dependence of Conditional Correlations on Volatility," Working Paper CRENoS 201304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018.
"MGARCH models: Trade-off between feasibility and flexibility,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
- Almeida, Daniel de & Hotta, Luiz, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022.
"A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model,"
CREATES Research Papers
2022-01, Department of Economics and Business Economics, Aarhus University.
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model," Econometrics, MDPI, vol. 10(3), pages 1-41, August.
- Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
- Haojun Pan & Yuxiang Tang & Guoqiang Wang, 2024. "A Stock Index Futures Price Prediction Approach Based on the MULTI-GARCH-LSTM Mixed Model," Mathematics, MDPI, vol. 12(11), pages 1-15, May.
- Bauwens, Luc & Otranto, Edoardo, 2020.
"Nonlinearities and regimes in conditional correlations with different dynamics,"
LIDAM Reprints CORE
3128, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Otranto, Edoardo, 2020. "Nonlinearities and regimes in conditional correlations with different dynamics," Journal of Econometrics, Elsevier, vol. 217(2), pages 496-522.
- L. Bauwens & E. Otranto, 2018. "Nonlinearities and Regimes in Conditional Correlations with Different Dynamics," Working Paper CRENoS 201803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- BAUWENS Luc, & OTRANTO Edoardo,, 2018. "Nonlinearities and regimes in conditional correlations with different dynamics," LIDAM Discussion Papers CORE 2018009, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- De Santis, Roberto A. & Stein, Michael, 2016. "Correlation changes between the risk-free rate and sovereign yields of euro area countries," Working Paper Series 1979, European Central Bank.
- He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2024.
"Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model,"
Journal of Econometrics, Elsevier, vol. 239(1).
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019. "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," CREATES Research Papers 2019-18, Department of Economics and Business Economics, Aarhus University.
- Susana Campos-Martins & Cristina Amado, 2023. "Modelling causality in nonstationary variances with an application to carbon markets," NIPE Working Papers 13/2023, NIPE - Universidade do Minho.
- Silvennoinen, Annastiina & Thorp, Susan, 2013.
"Financialization, crisis and commodity correlation dynamics,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 42-65.
- Annastiina Silvennoinen & Susan Thorp, 2010. "Financialization, Crisis and Commodity Correlation Dynamics," Research Paper Series 267, Quantitative Finance Research Centre, University of Technology, Sydney.
- E. Otranto, 2015. "Adding Flexibility to Markov Switching Models," Working Paper CRENoS 201509, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Dimitrios Thomakos & Johannes Klepsch & Dimitris N. Politis, 2020. "Model Free Inference on Multivariate Time Series with Conditional Correlations," Stats, MDPI, vol. 3(4), pages 1-26, November.
- Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2023. "Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks," Econometrics, MDPI, vol. 11(1), pages 1-37, February.
- Abdul Aziz, Nor Syahilla & Vrontos, Spyridon & M. Hasim, Haslifah, 2019. "Evaluation of multivariate GARCH models in an optimal asset allocation framework," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 568-596.
- Aslanidis, Nektarios & Martinez, Oscar, 2021. "Correlation regimes in international equity and bond returns," Economic Modelling, Elsevier, vol. 97(C), pages 397-410.
- da Silva, Tarciso Gouveia & de Carvalho Guillén, Osmani Teixeira & Morcerf, George Augusto Noronha & de Melo Modenesi, Andre, 2022. "Effects of monetary policy news on financial assets: Evidence from Brazil on a bivariate VAR-GARCH model (2006–17)," Emerging Markets Review, Elsevier, vol. 52(C).
- Kryzanowski, Lawrence & Zhang, Jie & Zhong, Rui, 2017. "Cross-financial-market correlations and quantitative easing," Finance Research Letters, Elsevier, vol. 20(C), pages 13-21.
- Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
- Nauro Campos & Ekaterina Glebkina & Menelaos Karanasos & Panagiotis Koutroumpis, 2023. "Financial Development, Political Instability, Trade Openness and Growth in Brazil: Evidence from a New Dataset, 1890-2003," Open Economies Review, Springer, vol. 34(4), pages 831-861, September.
- Annastiina Silvennoinen & Susan Thorp, 2010.
"Financialization, Crisis and Commodity Correlation Dynamics,"
Research Paper Series
267, Quantitative Finance Research Centre, University of Technology, Sydney.
- Silvennoinen, Annastiina & Thorp, Susan, 2013. "Financialization, crisis and commodity correlation dynamics," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 42-65.
Cited by:
- Singh, Jitendra & Ahmad, Wasim & Mishra, Anil, 2019. "Coherence, connectedness and dynamic hedging effectiveness between emerging markets equities and commodity index funds," Resources Policy, Elsevier, vol. 61(C), pages 441-460.
- Chunhachinda, Pornchai & de Boyrie, Maria E. & Pavlova, Ivelina, 2019. "Measuring the hedging effectiveness of commodities," Finance Research Letters, Elsevier, vol. 30(C), pages 201-207.
- Lv, Fei & Yang, Chen & Fang, Libing, 2020. "Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Bermudez, P. de Zea & Marín, J. Miguel & Rue, Håvard & Veiga, Helena, 2024. "Integrated nested Laplace approximations for threshold stochastic volatility models," Econometrics and Statistics, Elsevier, vol. 30(C), pages 15-35.
- Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019.
"Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss,"
Working Papers
201903, University of Pretoria, Department of Economics.
- Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2020. "Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss," Journal of International Money and Finance, Elsevier, vol. 104(C).
- Aït-Youcef, Camille & Joëts, Marc, 2024. "The role of index traders in the financialization of commodity markets: A behavioral finance approach," Energy Economics, Elsevier, vol. 136(C).
- Libo Yin & Qingyuan Yang & Zhi Su, 2017. "Predictability of structural co-movement in commodity prices: the role of technical indicators," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 795-812, May.
- Asai, Manabu & Gupta, Rangan & McAleer, Michael, 2020.
"Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks,"
International Journal of Forecasting, Elsevier, vol. 36(3), pages 933-948.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks," Working Papers 201951, University of Pretoria, Department of Economics.
- Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2017.
"Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries,"
MPRA Paper
80435, University Library of Munich, Germany.
- Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2015. "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," MPRA Paper 72082, University Library of Munich, Germany.
- Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2016. "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 209-220.
- Tariq Aziz & Ranjeeta Sadhwani & Ume Habibah & Mazin A. M. Al Janabi, 2020. "Volatility Spillover Among Equity and Commodity Markets," SAGE Open, , vol. 10(2), pages 21582440209, May.
- Girardi, Daniele, 2013.
"Financialization of food - The determinants of the time-varying relation between agricultural prices and stock market dynamics,"
MPRA Paper
52043, University Library of Munich, Germany, revised 16 Nov 2013.
- Daniele Girardi, 2015. "Financialization of food . Modelling the time-varying relation between agricultural prices and stock market dynamics," International Review of Applied Economics, Taylor & Francis Journals, vol. 29(4), pages 482-505, July.
- Daniele Girardi, 2014. "Explaining the time-varying relation between agricultural prices and stock market dynamics," Department of Economics University of Siena 701, Department of Economics, University of Siena.
- Panagiotis G. Papaioannou & George P. Papaioannou & Kostas Siettos & Akylas Stratigakos & Christos Dikaiakos, 2017. "Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece," Papers 1708.07063, arXiv.org.
- Ohashi, Kazuhiko & Okimoto, Tatsuyoshi, 2016.
"Increasing trends in the excess comovement of commodity prices,"
Journal of Commodity Markets, Elsevier, vol. 1(1), pages 48-64.
- OHASHI Kazuhiko & OKIMOTO Tatsuyoshi, 2013. "Increasing Trends in the Excess Comovement of Commodity Prices," Discussion papers 13048, Research Institute of Economy, Trade and Industry (RIETI).
- Kazuhiko Ohashi & Tatsuyoshi Okimoto, 2016. "Increasing Trends in the Excess Comovement of Commodity Prices," CAMA Working Papers 2016-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019.
"The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures,"
Working Papers
201925, University of Pretoria, Department of Economics.
- Asai, M. & Gupta, R. & McAleer, M.J., 2019. "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Econometric Institute Research Papers EI2019-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures," Documentos de Trabajo del ICAE 2019-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Energies, MDPI, vol. 12(17), pages 1-17, September.
- Billah, Mabruk & Hadhri, Sinda & Balli, Faruk & Sahabuddin, Mohammad, 2024. "Exploring the dynamic links, implications for hedging and investment strategies between Sukuk and commodity market volatility: Evidence from country level analysis," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 350-371.
- Ke Tang & Wei Xiong, 2010.
"Index Investment and Financialization of Commodities,"
NBER Working Papers
16385, National Bureau of Economic Research, Inc.
- Ke Tang & Wei Xiong, 2012. "Index Investment and the Financialization of Commodities," Financial Analysts Journal, Taylor & Francis Journals, vol. 68(6), pages 54-74, November.
- Duc Huynh, Toan Luu & Burggraf, Tobias & Nasir, Muhammad Ali, 2020. "Financialisation of natural resources & instability caused by risk transfer in commodity markets," Resources Policy, Elsevier, vol. 66(C).
- Alessandro Cologni & Elisa Scarpa & Francesco Giuseppe Sitzia, 2015. "Big Fish: Oil Markets and Speculation," Working Papers 2015.52, Fondazione Eni Enrico Mattei.
- Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Imhotep Paul Alagidede & Shawkat Hammoudeh, 2023. "Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets: a pre- and post-financial crisis analysis," Empirical Economics, Springer, vol. 65(3), pages 1027-1103, September.
- Syed Jawad Hussain Shahzad & Saba Ameer & Muhammad Shahbaz, 2016.
"Disaggregating the correlation under bearish and bullish markets: A Quantile-quantile approach,"
Post-Print
hal-02013740, HAL.
- Syed jawad hussain Shahzad & Saba Ameer & Muhammad Shahbaz, 2016. "Disaggregating the correlation under bearish and bullish markets: A Quantile-quantile approach," Economics Bulletin, AccessEcon, vol. 36(4), pages 2465-2473.
- Baumeister, Christiane & Ellwanger, Reinhard & Kilian, Lutz, 2016.
"Did the renewable fuel standard shift market expectations of the price of ethanol?,"
CFS Working Paper Series
563, Center for Financial Studies (CFS).
- Christiane Baumeister & Reinhard Ellwanger & Lutz Kilian, 2016. "Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?," CESifo Working Paper Series 6282, CESifo.
- Christiane Baumeister & Reinhard Ellwanger & Lutz Kilian, 2017. "Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?," Staff Working Papers 17-35, Bank of Canada.
- Baumeister, Christiane & Ellwanger, Reinhard & Kilian, Lutz, 2017. "Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?," CEPR Discussion Papers 11740, C.E.P.R. Discussion Papers.
- Christiane J.S. Baumeister & Reinhard Ellwanger & Lutz Kilian, 2017. "Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?," NBER Working Papers 23752, National Bureau of Economic Research, Inc.
- William Arrata & Alejandro Bernales & Virginie Coudert, 2013. "The effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Futures and Credit Default Swaps," Post-Print hal-01410748, HAL.
- Fernandes, Leonardo H.S. & Araújo, Fernando H.A., 2020. "Taxonomy of commodities assets via complexity-entropy causality plane," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
- Ahmed, Walid M.A., 2022. "On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 135-151.
- Kuruppuarachchi, Duminda & Premachandra, I.M. & Roberts, Helen, 2019. "A novel market efficiency index for energy futures and their term structure risk premiums," Energy Economics, Elsevier, vol. 77(C), pages 23-33.
- Jean-Pierre Allegret & Valérie Mignon & Audrey Allegret, 2014.
"Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies,"
Working Papers
hal-04141352, HAL.
- Audrey Allegret Sallenave & Jean-Pierre Allegret & Valerie Mignon, 2015. "Oil price shocks and global imbalances: lessons from a model with trade and financial interdependencies," Post-Print hal-03572504, HAL.
- Jean-Pierre Allegret & Valérie Mignon & Audrey Allegret-Sallenave, 2015. "Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies," Post-Print hal-01385980, HAL.
- Jean-Pierre Allegret & Valérie Mignon & Audrey Allegret-Sallenave, 2014. "Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies," Post-Print hal-01386098, HAL.
- Jean-Pierre Allegret & Valérie Mignon & Audrey Sallenave, 2014. "Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies," EconomiX Working Papers 2014-14, University of Paris Nanterre, EconomiX.
- Allegret, Jean-Pierre & Mignon, Valérie & Sallenave, Audrey, 2015. "Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies," Economic Modelling, Elsevier, vol. 49(C), pages 232-247.
- Jean-Pierre Allegret & Valérie Mignon & Audrey Sallenave, 2014. "Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies," Working Papers 2014-01, CEPII research center.
- Roman Matkovskyy & Akanksha Jalan & Michael Dowling & Taoufik Bouraoui, 2021.
"From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks,"
Post-Print
hal-04273124, HAL.
- Matkovskyy, Roman & Jalan, Akanksha & Dowling, Michael & Bouraoui, Taoufik, 2021. "From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks," Finance Research Letters, Elsevier, vol. 38(C).
- Kritika Mathur & Nidhi Kaicker & Raghav Gaiha & Katsushi Imai & Ganesh Thapa, 2013.
"Financialisation of Food Commodity Markets, Price Surge and Volatility: New Evidence,"
Economics Discussion Paper Series
1312, Economics, The University of Manchester.
- Kritika Mathur & Nidhi Kaicker & Raghav Gaiha & Katsushi S. Imai & Ganesh Thapa, 2013. "Financialisation of Food Commodity Markets, Price Surge and Volatility: New Evidence," Discussion Paper Series DP2013-22, Research Institute for Economics & Business Administration, Kobe University.
- Kritika Mathur & Nidhi Kaicker & Raghav Gaiha & Katsushi S. Imai & Ganesh Thapa, 2014. "Financialisation of food commodity markets, price surge and volatility: new evidence," Chapters, in: Raghbendra Jha & Raghav Gaiha & Anil B. Deolalikar (ed.), Handbook on Food, chapter 7, pages 149-176, Edward Elgar Publishing.
- Sadorsky, Perry, 2014. "Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat," Energy Economics, Elsevier, vol. 43(C), pages 72-81.
- David Bicchetti & Nicolas Maystre, 2012.
"The Synchronized And Long-Lasting Structural Change On Commodity Markets: Evidence From High Frequency Data,"
UNCTAD Discussion Papers
208, United Nations Conference on Trade and Development.
- Bicchetti, David & Maystre, Nicolas Maystre, 2013. "The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data," Algorithmic Finance, IOS Press, vol. 2(3-4), pages 233-239.
- Bicchetti, David & Maystre, Nicolas, 2012. "The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data," MPRA Paper 37486, University Library of Munich, Germany.
- Philipp Adämmer & Martin T. Bohl & Ernst-Oliver Ledebur, 2017. "Dynamics Between North American And European Agricultural Futures Prices During Turmoil And Financialization," Bulletin of Economic Research, Wiley Blackwell, vol. 69(1), pages 57-76, January.
- Juncal Cunado & Rangan Gupta & Chi Keung Marco Lau & Xin Sheng, 2018.
"Time-Varying Impact of Geopolitical Risks on Oil Prices,"
Working Papers
201841, University of Pretoria, Department of Economics.
- Juncal Cunado & Rangan Gupta & Chi Keung Marco Lau & Xin Sheng, 2020. "Time-Varying Impact of Geopolitical Risks on Oil Prices," Defence and Peace Economics, Taylor & Francis Journals, vol. 31(6), pages 692-706, August.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance & Francesco Saraceno, 2015.
"Assessing the link between price and financial stability,"
Post-Print
hal-03399269, HAL.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance & Francesco Saraceno, 2014. "Assessing the link between Price and Financial Stability," SciencePo Working papers Main hal-01070529, HAL.
- Blot, Christophe & Creel, Jérôme & Hubert, Paul & Labondance, Fabien & Saraceno, Francesco, 2015. "Assessing the link between price and financial stability," Journal of Financial Stability, Elsevier, vol. 16(C), pages 71-88.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance & Francesco Saraceno, 2014. "Assessing the link between price and financial stability," Documents de Travail de l'OFCE 2014-02, Observatoire Francais des Conjonctures Economiques (OFCE).
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance & Francesco Saraceno, 2015. "Assessing the link between price and financial stability," SciencePo Working papers Main hal-03399269, HAL.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance & Francesco Saraceno, 2014. "Assessing the link between Price and Financial Stability," Working Papers hal-01070529, HAL.
- Christophe Blot & Jerome Creel & Paul Hubert & Fabien Labondance & Francesco Saraceno, 2013. "Assessing the Link between Price and Financial Stability," Working papers wpaper33, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
- Yang, Baochen & Geng, Peixuan & Fan, Ying, 2023. "Hedging firm's idiosyncratic risk from commodity financialization," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 815-842.
- Mohamed Yousfi & Abderrazak Dhaoui & Houssam Bouzgarrou, 2021. "Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management," JRFM, MDPI, vol. 14(5), pages 1-29, May.
- Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe," Review of Derivatives Research, Springer, vol. 22(2), pages 203-259, July.
- Camille Aït-Youcef, 2019. "How index investment impacts commodities : A story about the financialization of agricultural commodities," Post-Print hal-03484371, HAL.
- Chuffart, Thomas, 2022. "Interest in cryptocurrencies predicts conditional correlation dynamics," Finance Research Letters, Elsevier, vol. 46(PA).
- Lin, Arthur J. & Chang, Hai Yen & Hsiao, Jung Lieh, 2019. "Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 127(C), pages 265-283.
- Nevrla, Matěj, 2020. "Systemic risk in European financial and energy sectors: Dynamic factor copula approach," Economic Systems, Elsevier, vol. 44(4).
- Amine Ben Amar & Mondher Bouattour & Makram Bellalah & Stephane Goutte, 2024.
"Shift Contagion and Minimum Causal Intensity Portfolio During the COVID-19 and the Ongoing Russia-Ukraine Conflict,"
Working Papers
hal-04522103, HAL.
- Amine Ben Amar & Mondher Bouattour & Makram Bellalah & Stéphane Goutte, 2023. "Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict," Post-Print halshs-04721674, HAL.
- Ben Amar, Amine & Bouattour, Mondher & Bellalah, Makram & Goutte, Stéphane, 2023. "Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
- Amine Ben Amar & Mondher Bouattour & Makram Bellalah & Stéphane Goutte, 2023. "Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict," Post-Print hal-04122251, HAL.
- Mondher Bouattour & Amine Ben Amar & Stéphane Goutte & Makram Bellalah, 2023. "Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict," Working Papers halshs-04064084, HAL.
- Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Syed Ali, 2018. "Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach," Resources Policy, Elsevier, vol. 57(C), pages 10-29.
- Ioannis Chatziantoniou & David Gabauer & Rangan Gupta, 2021. "Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach," Working Papers 202147, University of Pretoria, Department of Economics.
- Boqiang Lin & Tong Su, 2023. "Uncertainties and green bond markets: Evidence from tail dependence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4458-4475, October.
- Krzysztof Drachal, 2018. "Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework," Energies, MDPI, vol. 11(5), pages 1-24, May.
- Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times," IZA Discussion Papers 13274, Institute of Labor Economics (IZA).
- Zea Bermudez, Patrícia de & Rue, Havard, 2021. "Integrated nested Laplace approximations for threshold stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS 31804, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Saif Siddiqui & Preeti Roy, 2019. "Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 67(6), pages 1597-1611.
- Manisha Pradhananga, 2016. "Financialization and the rise in co-movement of commodity prices," International Review of Applied Economics, Taylor & Francis Journals, vol. 30(5), pages 547-566, September.
- Scott H. Irwin & Dwight R. Sanders, 2011.
"Index Funds, Financialization, and Commodity Futures Markets,"
Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 1-31.
- Scott H. Irwin & Dwight R. Sanders, 2011. "Index Funds, Financialization, and Commodity Futures Markets," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 1-31.
- Joëts, Marc, 2015.
"Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics,"
European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
- Joëts, Marc, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Energy: Resources and Markets 148918, Fondazione Eni Enrico Mattei (FEEM).
- Marc Joëts, 2013. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Working Papers 2013-31, Department of Research, Ipag Business School.
- Marc Joëts, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Working Papers 2013.32, Fondazione Eni Enrico Mattei.
- Marc Joëts, 2015. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Post-Print hal-01609889, HAL.
- Jitmaneeroj, Boonlert, 2018. "The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 282-298.
- Diaz-Rainey, Ivan & Roberts, Helen & Lont, David H., 2017. "Crude inventory accounting and speculation in the physical oil market," Energy Economics, Elsevier, vol. 66(C), pages 508-522.
- Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George, 2019.
"Futures-based forecasts: How useful are they for oil price volatility forecasting?,"
Energy Economics, Elsevier, vol. 81(C), pages 639-649.
- Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George, 2019. "Futures-based forecasts: How useful are they for oil price volatility forecasting?," MPRA Paper 96446, University Library of Munich, Germany.
- Davide, Marinella & Vesco, Paola, 2016.
"Alternative Approaches for Rating INDCs: a Comparative Analysis,"
MITP: Mitigation, Innovation and Transformation Pathways
232716, Fondazione Eni Enrico Mattei (FEEM).
- Marinella Davide & Paola Vesco, 2016. "Alternative Approaches for Rating INDCs: a Comparative Analysis," Working Papers 2016.18, Fondazione Eni Enrico Mattei.
- Bredin, Don & Potì, Valerio & Salvador, Enrique, 2023. "Revisiting the Silver Crisis," Journal of Commodity Markets, Elsevier, vol. 30(C).
- Niels C. Thygesen & Robert N. McCauley & Guonan Ma & William R. White & Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae & Ernest Gnan & Morten Balling & Paul , 2013. "50 Years of Money and Finance: Lessons and Challenges," SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Lessons and Challenges, SUERF - The European Money and Finance Forum, number 1 edited by Morten Balling & Ernest Gnan, March.
- Cyriac Guillaumin & Salem Boubakri & Alexandre Silanine, 2020.
"Do commodity price volatilities impact currency misalignments in commodity-exporting countries ?,"
Post-Print
halshs-02935658, HAL.
- Cyriac Guillaumin & Salem Boubakri & Alexandre Silanine, 2020. "Do commodity price volatilities impact currency misalignments in commodity-exporting countries?," Economics Bulletin, AccessEcon, vol. 40(2), pages 1727-1739.
- Degiannakis, Stavros & Filis, George & Arora, Vipin, 2018.
"Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence,"
MPRA Paper
96270, University Library of Munich, Germany.
- Stavros Degiannakis & George Filis & Vipin Arora, 2018. "Oil prices and stock markets: A review of the theory and empirical evidence," BAFES Working Papers BAFES22, Department of Accounting, Finance & Economic, Bournemouth University.
- Stavros Degiannakis & George Filis & Vipin Arora, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," The Energy Journal, , vol. 39(5), pages 85-130, September.
- Stavros Degiannakis, George Filis, and Vipin Arora, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
- Fateh Belaid & Amine Ben Amar & Stéphane Goutte & Khaled Guesmi, 2023.
"Emerging and advanced economies markets behaviour during the COVID‐19 crisis era,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1563-1581, April.
- Fateh Belaid & Amine Ben Amar & Stéphane Goutte & Khaled Guesmi, 2021. "Emerging and advanced economies markets behaviour during the COVID ‐19 crisis era," Post-Print hal-03273647, HAL.
- Takashi Miyazaki & Shigeyuki Hamori, 2016.
"The determinants of a simultaneous crash in gold and stock markets: An ordered logit approach,"
Discussion Papers
1603, Graduate School of Economics, Kobe University.
- Takashi Miyazaki & Shigeyuki Hamori, 2018. "The Determinants Of A Simultaneous Crash In Gold And Stock Markets: An Ordered Logit Approach," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-25, March.
- Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 38-70.
- Ali, Sajid & Bouri, Elie & Czudaj, Robert Lukas & Shahzad, Syed Jawad Hussain, 2020. "Revisiting the valuable roles of commodities for international stock markets," Resources Policy, Elsevier, vol. 66(C).
- Philippe Charlot & Olivier Darné & Zakaria Moussa, 2014.
"Commodity returns co-movements: Fundamentals or "style" effect?,"
Working Papers
hal-01093631, HAL.
- Charlot, Philippe & Darné, Olivier & Moussa, Zakaria, 2016. "Commodity returns co-movements: Fundamentals or “style” effect?," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 130-160.
- Aepli, Matthias D. & Füss, Roland & Henriksen, Tom Erik S. & Paraschiv, Florentina, 2017. "Modeling the multivariate dynamic dependence structure of commodity futures portfolios," Journal of Commodity Markets, Elsevier, vol. 6(C), pages 66-87.
- Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2017.
"Jumps in Commodity Markets,"
Hannover Economic Papers (HEP)
dp-615, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019. "Jumps in commodity markets," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 55-70.
- Khan, Nasir & Saleem, Asima & Ozkan, Oktay, 2023. "Do geopolitical oil price risk influence stock market returns and volatility of Pakistan: Evidence from novel non-parametric quantile causality approach," Resources Policy, Elsevier, vol. 81(C).
- Bekiros, Stelios & Boubaker, Sabri & Nguyen, Duc Khuong & Uddin, Gazi Salah, 2017.
"Black swan events and safe havens: The role of gold in globally integrated emerging markets,"
Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 317-334.
- Bekiros, Stelios & Boubaker, Sabri & Nguyen, Duc Khuong & Uddin, Gazi Salah, 2015. "Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets," MPRA Paper 75740, University Library of Munich, Germany, revised Nov 2016.
- Xiao, Jihong & Wang, Yudong & Wen, Danyan, 2023. "The predictive effect of risk aversion on oil returns under different market conditions," Energy Economics, Elsevier, vol. 126(C).
- Giulio Cifarelli & Paolo Paesani, 2017.
"On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016,"
Working Papers - Economics
wp2017_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Cifarelli, Giulio & Paesani, Paolo, 2017. "On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016," MPRA Paper 84009, University Library of Munich, Germany.
- Amal Abricha & Amine Ben Amar & Makram Bellalah, 2024.
"Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach,"
Post-Print
hal-04515196, HAL.
- Abricha, Amal & Ben Amar, Amine & Bellalah, Makram, 2024. "Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 229-246.
- Julien Chevallier & Florian Ielpo, 2013. "Volatility spillovers in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(13), pages 1211-1227, September.
- Florentina Paraschiv & Stine Marie Reese & Margrethe Ringkjøb Skjelstad, 2020. "Portfolio stress testing applied to commodity futures," Computational Management Science, Springer, vol. 17(2), pages 203-240, June.
- Cochran, Steven J. & Mansur, Iqbal & Odusami, Babatunde, 2012. "Volatility persistence in metal returns: A FIGARCH approach," Journal of Economics and Business, Elsevier, vol. 64(4), pages 287-305.
- Rondinone, Gonzalo & Thomasz, Esteban Otto, 2016. "Un análisis exploratorio de los exchangeable trade funds y su influencia en el proceso de financiarización de commodities [An exploratory analisys of the exchangeable trade funds and their influenc," MPRA Paper 72677, University Library of Munich, Germany.
- Escobari, Diego & Sharma, Shahil, 2020. "Explaining the nonlinear response of stock markets to oil price shocks," Energy, Elsevier, vol. 213(C).
- Noureddine Benlagha & Wafa Abdelmalek, 2024. "Dynamic connectedness between energy and agricultural commodities: insights from the COVID-19 pandemic and Russia–Ukraine conflict," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 781-825, September.
- Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016.
"Commodities, financialization, and heterogeneous agents,"
SAFE Working Paper Series
131, Leibniz Institute for Financial Research SAFE.
- Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016. "Commodities, financialization, and heterogeneous agents," SAFE Working Paper Series 131 [rev.], Leibniz Institute for Financial Research SAFE, revised 2016.
- Cao, A.N.Q. & Grosche, S.-C., 2018. "Financial and Commodity-specific expectations in soybean futures markets," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277538, International Association of Agricultural Economists.
- Su, Chi Wei & Song, Xin Yue & Qin, Meng & Lobonţ, Oana-Ramona, 2024. "Is copper a safe haven for oil?," Resources Policy, Elsevier, vol. 91(C).
- Karol Szafranek, 2015.
"Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH,"
NBP Working Papers
213, Narodowy Bank Polski.
- Karol Szafranek, 2015. "Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH," EcoMod2015 8554, EcoMod.
- Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz, 2013. "Commodity and Asset Pricing Models: An Integration," NBER Working Papers 19167, National Bureau of Economic Research, Inc.
- Yusui Tang & Feng Ma & Yaojie Zhang & Yu Wei, 2022. "Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4770-4783, October.
- Baur, Dirk G. & Dimpfl, Thomas, 2018. "The asymmetric return-volatility relationship of commodity prices," Energy Economics, Elsevier, vol. 76(C), pages 378-387.
- Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Uddin, Gazi Salah, 2017.
"Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets,"
European Journal of Operational Research, Elsevier, vol. 256(3), pages 945-961.
- Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Salah Uddin, Gazi, 2015. "Information Diffusion, Cluster formation and Entropy-based Network Dynamics in Equity and Commodity Markets," MPRA Paper 73397, University Library of Munich, Germany, revised Feb 2016.
- Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, June.
- van Huellen, Sophie, 2019.
"Price discovery in commodity futures and cash markets with heterogeneous agents,"
Journal of International Money and Finance, Elsevier, vol. 95(C), pages 1-13.
- Sophie van Huellen, 2018. "Price Discovery in Commodity Futures and Cash Markets with Heterogenous Agents," Working Papers 213, Department of Economics, SOAS University of London, UK.
- Amel Melki & Ahmed Ghorbel, 2023. "Which Commodity Sectors Effectively Hedge Emerging Eastern European Stock Markets? Evidence from MGARCH Models," Commodities, MDPI, vol. 2(3), pages 1-19, August.
- Fan, John Hua & Mo, Di & Zhang, Tingxi, 2022. "The “necessary evil” in Chinese commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
- Julia S. Mehlitz & Benjamin R. Auer, 2021. "Time‐varying dynamics of expected shortfall in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 895-925, June.
- Chung-Shin Liu & Meng-Shiuh Chang & Ximing Wu & Chin Man Chui, 2016. "Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew- copula approach," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1763-1789, November.
- Cui, Jinxin & Goh, Mark & Zou, Huiwen, 2021. "Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets," Energy, Elsevier, vol. 225(C).
- Abdelkader Derbali & Slaheddine Hallara & Aida Sy, 2016.
"Athen's game of chicken or the conditional dependence between the Greek banks,"
Post-Print
hal-01696014, HAL.
- Abdelkader Derbali & Slaheddine Hallara & Aida Sy, 2016. "Athen's game of chicken or the conditional dependence between the Greek banks," International Journal of Economics and Accounting, Inderscience Enterprises Ltd, vol. 7(1), pages 1-26.
- Olson, Eric & Vivian, Andrew & Wohar, Mark E., 2017. "Do commodities make effective hedges for equity investors?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1274-1288.
- Bassam Fattouh, Lutz Kilian, and Lavan Mahadeva, 2013.
"The Role of Speculation in Oil Markets: What Have We Learned So Far?,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
- Kilian, Lutz & Fattouh, Bassam & Mahadeva, Lavan, 2012. "The Role of Speculation in Oil Markets: What Have We Learned So Far?," CEPR Discussion Papers 8916, C.E.P.R. Discussion Papers.
- Bassam Fattouh & Lutz Kilian & Lavan Mahadeva, 2013. "The Role of Speculation in Oil Markets: What Have We Learned So Far?," The Energy Journal, , vol. 34(3), pages 7-33, July.
- Krätschell, Karoline & Schmidt, Torsten, 2013. "Long-run trends or short-run fluctuations What establishes the correlation between oil and food prices?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79798, Verein für Socialpolitik / German Economic Association.
- Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Le, Van & Moussa, Faten, 2024. "Hedging precious metals with impact investing," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 651-664.
- Gong, Xu & Xu, Jun & Liu, Tangyong & Zhou, Zicheng, 2022. "Dynamic volatility connectedness between industrial metal markets," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
- Nguyen, Quynh Nga & Aboura, Sofiane & Chevallier, Julien & Zhang, Lyuyuan & Zhu, Bangzhu, 2020. "Local Gaussian correlations in financial and commodity markets," European Journal of Operational Research, Elsevier, vol. 285(1), pages 306-323.
- Antonakakis, Nikolaos & Kizys, Renatas, 2015. "Dynamic spillovers between commodity and currency markets," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 303-319.
- Perera, Devmali & Białkowski, Jędrzej & Bohl, Martin T., 2022. "Is the tracking error time-varying? Evidence from agricultural ETCs," Research in International Business and Finance, Elsevier, vol. 63(C).
- Georgios Bampinas & Theodore Panagiotidis, 2017.
"Oil and stock markets before and after financial crises : a local Gaussian correlation approach,"
Bank of Estonia Working Papers
wp2016-11, Bank of Estonia, revised 06 Feb 2017.
- Georgios Bampinas & Theodore Panagiotidis, 2017. "Oil and stock markets before and after financial crises: A local Gaussian correlation approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(12), pages 1179-1204, December.
- Annastiina Silvennoinen & Susan Thorp, 2015.
"Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics,"
NCER Working Paper Series
109, National Centre for Econometric Research.
- Annastiina Silvennoinen & Susan Thorp, 2016. "Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 522-544, June.
- Disli, Mustafa & Nagayev, Ruslan & Salim, Kinan & Rizkiah, Siti K. & Aysan, Ahmet F., 2021. "In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types," Research in International Business and Finance, Elsevier, vol. 58(C).
- Mustanen, Dmitri & Maaitah, Ahmad & Mishra, Tapas & Parhi, Mamata, 2022. "The power of investors’ optimism and pessimism in oil market forecasting," Energy Economics, Elsevier, vol. 114(C).
- Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2020. "Risk appetite and oil prices," Energy Economics, Elsevier, vol. 85(C).
- Nikitopoulos, Christina Sklibosios & Thomas, Alice Carole & Wang, Jianxin, 2023. "The economic impact of daily volatility persistence on energy markets," Journal of Commodity Markets, Elsevier, vol. 30(C).
- Moustfa Ismael Khaleel & Ahmed Younis Jabbar & Maha Kalai & Rima Aloulou & Kamel Helali, 2024. "An Applied Study of the Symmetric and Asymmetric Impact of Oil Prices and International Financial Markets on Economic Growth in Iraq," International Journal of Energy Economics and Policy, Econjournals, vol. 14(4), pages 66-80, July.
- Cortazar, Gonzalo & Ortega, Hector & Rojas, Maximiliano & Schwartz, Eduardo S., 2021. "Commodity index risk premium," Journal of Commodity Markets, Elsevier, vol. 22(C).
- Xiaoqian Wen & Duc Khuong Nguyen, 2017.
"Can Investors of Chinese Energy Stocks Benefit from Diversification into Commodity Futures?,"
Working Papers
2017-004, Department of Research, Ipag Business School.
- Wen, Xiaoqian & Nguyen, Duc Khuong, 2017. "Can investors of Chinese energy stocks benefit from diversification into commodity futures?," Economic Modelling, Elsevier, vol. 66(C), pages 184-200.
- Chen, Ying & Zhu, Xuehong & Li, Hailing, 2022. "The asymmetric effects of oil price shocks and uncertainty on non-ferrous metal market: Based on quantile regression," Energy, Elsevier, vol. 246(C).
- Ordu, Beyza Mina & Oran, Adil & Soytas, Ugur, 2018. "Is food financialized? Yes, but only when liquidity is abundant," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 82-96.
- Niaz Bashiri Behmiri & Maryam Ahmadi & Juha-Pekka Junttila & Matteo Manera, 2021.
"Financial Stress and Basis in Energy Markets,"
The Energy Journal, , vol. 42(5), pages 67-88, September.
- Niaz Bashiri Behmiri, Maryam Ahmadi, Juha-Pekka Junttila, and Matteo Manera, 2021. "Financial Stress and Basis in Energy Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
- Baur, Dirk G. & Glover, Kristoffer J., 2014. "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 116-133.
- Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security," Agriculture, MDPI, vol. 12(11), pages 1-27, November.
- Imhotep Paul Alagidede & Gideon Boako & Bo Sjo, 2021. "African equity markets’ exposure to oil and other commodities - implications for global portfolio diversification," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(2), pages 288-315, April.
- Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012.
"Futures basis, inventory and commodity price volatility: An empirical analysis,"
Economic Modelling, Elsevier, vol. 29(6), pages 2651-2663.
- Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese, 2012. "Futures basis, inventory and commodity price volatility: An empirical analysis," MPRA Paper 39903, University Library of Munich, Germany.
- Tule, Moses K. & Salisu, Afees A. & Chiemeke, Charles C., 2019. "Can agricultural commodity prices predict Nigeria's inflation?," Journal of Commodity Markets, Elsevier, vol. 16(C).
- Ing-Haw Cheng & Wei Xiong, 2014.
"Financialization of Commodity Markets,"
Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 419-441, December.
- Ing-Haw Cheng & Wei Xiong, 2013. "The Financialization of Commodity Markets," NBER Working Papers 19642, National Bureau of Economic Research, Inc.
- Mensi, Walid & Hammoudeh, Shawkat & Al-Jarrah, Idries Mohammad Wanas & Sensoy, Ahmet & Kang, Sang Hoon, 2017. "Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications," Energy Economics, Elsevier, vol. 67(C), pages 454-475.
- Shelly Singhal & Pratap Chandra Biswal, 2021. "Dynamic Commodity Portfolio Management: A Regime-switching VAR Model," Global Business Review, International Management Institute, vol. 22(2), pages 532-549, April.
- Grosche, Stephanie & Heckelei, Thomas, 2014. "Price dynamics and financialization effects in corn futures markets with heterogeneous traders," Discussion Papers 172077, University of Bonn, Institute for Food and Resource Economics.
- Daskalaki, Charoula & Skiadopoulos, George & Topaloglou, Nikolas, 2017.
"Diversification benefits of commodities: A stochastic dominance efficiency approach,"
Journal of Empirical Finance, Elsevier, vol. 44(C), pages 250-269.
- Charoula Daskalaki & George Skiadopoulos & Nikolas Topaloglou, 2016. "Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach," Working Papers 797, Queen Mary University of London, School of Economics and Finance.
- M.A. Lagesh & Mohammed Kasim C. & Sunil Paul, 2014. "Commodity Futures Indices and Traditional Asset Markets in India: DCC Evidence for Portfolio Diversification Benefits," Global Business Review, International Management Institute, vol. 15(4), pages 777-793, December.
- Delphine Lautier & Julien Ling & Franck Raynaud, 2015. "Integration of commodity derivative markets: Has it gone too far?," Post-Print hal-01653757, HAL.
- Duc Khuong Nguyen & Thomas Walther, 2020.
"Modeling and forecasting commodity market volatility with long‐term economic and financial variables,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
- Nguyen, Duc Khuong & Walther, Thomas, 2017. "Modeling and forecasting commodity market volatility with long-term economic and financial variables," MPRA Paper 84464, University Library of Munich, Germany, revised Jan 2018.
- Thomas Walther & Duc Khuong Nguyen, 2018. "Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables," Working Papers on Finance 1824, University of St. Gallen, School of Finance.
- Figuerola-Ferretti, Isabel & McCrorie, J. Roderick & Paraskevopoulos, Ioannis, 2020. "Mild explosivity in recent crude oil prices," Energy Economics, Elsevier, vol. 87(C).
- William Arrata & Alejandro Bernales & Virginie Coudert, 2013. "The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps," SUERF 50th Anniversary Volume Chapters, in: Morten Balling & Ernest Gnan (ed.), 50 Years of Money and Finance: Lessons and Challenges, chapter 13, pages 445-473, SUERF - The European Money and Finance Forum.
- Naeem, Muhammad Abubakr & Hasan, Mudassar & Arif, Muhammad & Suleman, Muhammad Tahir & Kang, Sang Hoon, 2022. "Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications," Energy Economics, Elsevier, vol. 105(C).
- Karanasos, M. & Yfanti, S., 2021. "On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Sensoy, Ahmet & Hacihasanoglu, Erk & Nguyen, Duc Khuong, 2015. "Dynamic convergence of commodity futures: Not all types of commodities are alike," Resources Policy, Elsevier, vol. 44(C), pages 150-160.
- Zaremba, Adam, 2015. "Inflation, Business Cycles, and Commodity Investing in Financialized Markets," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 6(1), pages 1-18, January.
- Fry-McKibbin, Renée & McKinnon, Kate, 2023. "The evolution of commodity market financialization: Implications for portfolio diversification," Journal of Commodity Markets, Elsevier, vol. 32(C).
- Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).
- Annina Kaltenbrunner, 2018. "Financialised internationalisation and structural hierarchies: a mixed-method study of exchange rate determination in emerging economies," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 42(5), pages 1315-1341.
- Liu, Pan & Power, Gabriel J. & Vedenov, Dmitry, 2021. "Fair-weather Friends? Sector-specific volatility connectedness and transmission," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 712-736.
- Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2018.
"Persistence in Trends and Cycles of Gold and Silver Prices: Evidence from Historical Data,"
Working Papers
201816, University of Pretoria, Department of Economics.
- Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2019. "Persistence in trends and cycles of gold and silver prices: Evidence from historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 345-354.
- Sofiane Aboura & Julien Chevallier, 2015.
"Volatility returns with vengeance: Financial markets vs. commodities,"
Post-Print
hal-01529747, HAL.
- Aboura, Sofiane & Chevallier, Julien, 2015. "Volatility returns with vengeance: Financial markets vs. commodities," Research in International Business and Finance, Elsevier, vol. 33(C), pages 334-354.
- Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019.
"Economic Determinants of Oil Futures Volatility: A Term Structure Perspective,"
Research Paper Series
401, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kang, Boda & Nikitopoulos, Christina Sklibosios & Prokopczuk, Marcel, 2020. "Economic determinants of oil futures volatility: A term structure perspective," Energy Economics, Elsevier, vol. 88(C).
- Sercan Demiralay & Selcuk Bayraci & H. Gaye Gencer, 2019. "Time-varying diversification benefits of commodity futures," Empirical Economics, Springer, vol. 56(6), pages 1823-1853, June.
- Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012.
"Endogenous crisis dating and contagion using smooth transition structural GARCH,"
Working Papers
15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
- Mardi Dungey & George Milunovich & Susan Thorp & Minxian Yang, 2012. "Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH," Research Paper Series 312, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2015. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 71-79.
- Panos K. Pouliasis & Nikos C. Papapostolou, 2018. "Volatility and correlation timing: The role of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1407-1439, November.
- Karoline Krätschell & Torsten Schmidt, 2017. "Long-run waves or short-run fluctuations – what establishes the correlation between oil and food prices?," Applied Economics, Taylor & Francis Journals, vol. 49(54), pages 5535-5546, November.
- Katja Ignatieva & Natalia Ponomareva, 2017. "Commodity currencies and commodity prices: modelling static and time-varying dependence," Applied Economics, Taylor & Francis Journals, vol. 49(15), pages 1491-1512, March.
- Xiao, Qin & Yan, Meilan & Zhang, Dalu, 2023. "Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Pinto-Ávalos, Francisco & Bowe, Michael & Hyde, Stuart, 2024. "Revisiting the pricing impact of commodity market spillovers on equity markets," Journal of Commodity Markets, Elsevier, vol. 33(C).
- Nanying Wang & Jack E. Houston, 2016. "The Co-Movement between Non-GM and GM Soybean Prices in China: Evidence from Dalian Futures Market (2004-2014)," Applied Economics and Finance, Redfame publishing, vol. 3(4), pages 37-47, November.
- Galán-Gutiérrez, Juan Antonio & Labeaga, José M. & Martín-García, Rodrigo, 2023. "Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle," Resources Policy, Elsevier, vol. 81(C).
- Delatte, A-L. & Lopez, C., 2013.
"Commodity and Equity Markets: Some Stylized Facts from a Copula,"
Working papers
421, Banque de France.
- Lopez, Claude & Delatte, Anne-Laure, 2013. "Commodity and Equity Markets: Some Stylized Facts from a Copula Approach," CEPR Discussion Papers 9558, C.E.P.R. Discussion Papers.
- Delatte, Anne-Laure & Lopez, Claude, 2012. "Commodity and Equity Markets: Some Stylized Facts from a Copula Approach," MPRA Paper 39860, University Library of Munich, Germany.
- Delatte, Anne-Laure & Lopez, Claude, 2013. "Commodity and equity markets: Some stylized facts from a copula approach," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5346-5356.
- Wang, Nanying & Houston, Jack, 2015. "The Comovement between Non-GM and GM Soybean Price in China: Evidence from Dalian Futures Market," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 196775, Southern Agricultural Economics Association.
- Iuga, Iulia Cristina & Mudakkar, Syeda Rabab & Dragolea, Larisa Loredana, 2024. "Agricultural commodities market reaction to COVID-19," Research in International Business and Finance, Elsevier, vol. 69(C).
- Luo, Jiawen & Demirer, Riza & Gupta, Rangan & Ji, Qiang, 2022.
"Forecasting oil and gold volatilities with sentiment indicators under structural breaks,"
Energy Economics, Elsevier, vol. 105(C).
- Jiawen Luo & Riza Demirer & Rangan Gupta & Qiang Ji, 2021. "Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks," Working Papers 202130, University of Pretoria, Department of Economics.
- Drachal, Krzysztof, 2016. "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, vol. 60(C), pages 35-46.
- Walid Bahloul & Mehmet Balcilar & Juncal Cunado & Rangan Gupta, 2017.
"The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test,"
Working Papers
201725, University of Pretoria, Department of Economics.
- Bahloul, Walid & Balcilar, Mehmet & Cunado, Juncal & Gupta, Rangan, 2018. "The role of economic and financial uncertainties in predicting commodity futures returns and volatility: Evidence from a nonparametric causality-in-quantiles test," Journal of Multinational Financial Management, Elsevier, vol. 45(C), pages 52-71.
- Roy, Rudra Prosad & Sinha Roy, Saikat, 2017. "Financial contagion and volatility spillover: An exploration into Indian commodity derivative market," Economic Modelling, Elsevier, vol. 67(C), pages 368-380.
- Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil prices," MPRA Paper 77531, University Library of Munich, Germany.
- Fameliti Stavroula & Skintzi Vasiliki, 2024. "Macroeconomic attention and commodity market volatility," Empirical Economics, Springer, vol. 67(5), pages 1967-2007, November.
- Marcel Prokopczuk & Chardin Wese Simen & Robert Wichmann, 2021. "The dynamics of commodity return comovements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1597-1617, October.
- Fernando Antonio Lucena Aiube & Ariel Levy, 2019. "Recent movement of oil prices and future scenarios [Movimentos recentes dos preços do petróleo e os cenários futuros]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 29(1), pages 223-248, January-A.
- Pradkhan, Elina, 2017. "Financial activity in agricultural futures markets: evidence from quantile regressions," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 61(4), October.
- Jean-François Carpantier, 2021.
"Commodity Prices in Empirical Research,"
Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 199-227,
Springer.
- Jean-François Carpantier, 2019. "Commodity Prices In Empirical Research," LIDAM Discussion Papers IRES 2020021, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Jean-François Carpantier, 2020. "Commodity Prices in Empirical Research," Working Papers hal-02497404, HAL.
- Sari, Ramazan & Soytas, Ugur & Hacihasanoglu, Erk, 2011. "Do global risk perceptions influence world oil prices?," Energy Economics, Elsevier, vol. 33(3), pages 515-524, May.
- Arfaoui, Nadia & Yousaf, Imran & Jareño, Francisco, 2023. "Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 617-634.
- Lazzarino, Marco & Berrill, Jenny & Šević, Aleksandar, 2022. "The importance of distinguishing between precious and industrial metals when investing in mining stocks," Resources Policy, Elsevier, vol. 78(C).
- Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2016. "Commodities momentum: A behavioral perspective," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 133-150.
- Zhang, Yue-Jun & Chevallier, Julien & Guesmi, Khaled, 2017. "“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets," Energy Economics, Elsevier, vol. 68(C), pages 228-239.
- Walid Chkili, 2022. "The links between gold, oil prices and Islamic stock markets in a regime switching environment," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(1), pages 169-186, March.
- Rashid Khan, Haroon Ur & Islam, Talat & Yousaf, Sheikh Usman & Zaman, Khalid & Shoukry, Alaa Mohamd & Sharkawy, Mohamed A. & Gani, Showkat & Aamir, Alamzeb & Hishan, Sanil S., 2019. "The impact of financial development indicators on natural resource markets: Evidence from two-step GMM estimator," Resources Policy, Elsevier, vol. 62(C), pages 240-255.
- Shah, Adil Ahmad & Paul, Manas & Bhanja, Niyati & Dar, Arif Billah, 2021. "Dynamics of connectedness across crude oil, precious metals and exchange rate: Evidence from time and frequency domains," Resources Policy, Elsevier, vol. 73(C).
- Krätschell, Karoline & Schmidt, Torsten, 2012. "Long-run Trends or Short-run Fluctuations – What Establishes the Correlation between Oil and Food Prices?The Interplay of Standardized Tests and Incentives – An Econometric Analysis with Data from PIS," Ruhr Economic Papers 357, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Morelli, Giacomo, 2023. "Stochastic ordering of systemic risk in commodity markets," Energy Economics, Elsevier, vol. 117(C).
- Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
- Daniel Leonhardt & Antony Ware & Rudi Zagst, 2017. "A Cointegrated Regime-Switching Model Approach with Jumps Applied to Natural Gas Futures Prices," Risks, MDPI, vol. 5(3), pages 1-19, September.
- Sierra Lya Paola & Girón Luis Eduardo & Girón Victor & Girón Andrés, 2018.
"What is the Spillover Effect of the U.S. Equity and Money Market on the Key Latin American Agricultural Exports?,"
Global Economy Journal, De Gruyter, vol. 18(4), pages 1-9, December.
- Lya Paola Sierra & Luis Eduardo Girón & Victor Girón & Andrés Girón, 2018. "What is the Spillover Effect of the U.S. Equity and Money Market on the Key Latin American Agricultural Exports?," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 18(4), pages 1-9, December.
- Andriosopoulos, Kostas & Galariotis, Emilios & Spyrou, Spyros, 2017.
"Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis,"
Energy Economics, Elsevier, vol. 66(C), pages 217-227.
- Kostas Andriosopoulos & Emilios Galariotis & Spyros Spyrou, 2017. "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Post-Print hal-01578056, HAL.
- Marcio Genovevo da Costa & Nils Donner, 2016. "Cointegration between Equity- and Agricultural Markets: Implications for Portfolio Diversification," Journal of Management and Sustainability, Canadian Center of Science and Education, vol. 6(1), pages 24-44, March.
- Swamy Perumandla & Padma Kurisetti, 2021. "Commodity Transaction Tax (CTT): Nature of Correlation Dynamics and Volatility Linkages Between Indian Commodity and Equity Markets," International Journal of Asian Business and Information Management (IJABIM), IGI Global, vol. 12(2), pages 16-36, April.
- Li, Yanshuang & Zhuang, Xintian & Wang, Jian & Dong, Zibing, 2021. "Analysis of the impact of COVID-19 pandemic on G20 stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
- Zhang, Bing & Li, Xiao-Ming, 2016. "Recent hikes in oil-equity market correlations: Transitory or permanent?," Energy Economics, Elsevier, vol. 53(C), pages 305-315.
- Wen, Fenghua & Cao, Jiahui & Liu, Zhen & Wang, Xiong, 2021. "Dynamic volatility spillovers and investment strategies between the Chinese stock market and commodity markets," International Review of Financial Analysis, Elsevier, vol. 76(C).
- Han, Xuyuan & Liu, Zhenya & Wang, Shixuan, 2022. "An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting," Journal of Commodity Markets, Elsevier, vol. 25(C).
- Anne-Laure Delatte & Claude Lopez, 2014.
"Commodity and Equity Markets: Some Stylized Facts from a Copula Approach,"
Post-Print
hal-01410596, HAL.
- Lopez, Claude & Delatte, Anne-Laure, 2013. "Commodity and Equity Markets: Some Stylized Facts from a Copula Approach," CEPR Discussion Papers 9558, C.E.P.R. Discussion Papers.
- Delatte, Anne-Laure & Lopez, Claude, 2012. "Commodity and Equity Markets: Some Stylized Facts from a Copula Approach," MPRA Paper 39860, University Library of Munich, Germany.
- Delatte, Anne-Laure & Lopez, Claude, 2013. "Commodity and equity markets: Some stylized facts from a copula approach," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5346-5356.
- Chatziantoniou, Ioannis & Gabauer, David & Gupta, Rangan, 2023. "Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach," Resources Policy, Elsevier, vol. 84(C).
- Bessler, Wolfgang & Wolff, Dominik, 2015. "Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 1-20.
- Richter, Sylvia & Heyde, Frank & Horsch, Andreas & Wünsche, Andreas, 2021. "Determinants of project bond prices – Insights into infrastructure and energy capital markets," Energy Economics, Elsevier, vol. 97(C).
- Hiroyuki Okawa, 2023. "Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics," JRFM, MDPI, vol. 16(2), pages 1-20, January.
- Philipp Adämmer & Martin T. Bohl & Ernst-Oliver Ledebur, 2015. "Price Transmissions During Financialization and Turmoil: New Evidence from North American and European Agricultural Futures," CQE Working Papers 3815, Center for Quantitative Economics (CQE), University of Muenster.
- Syed Jawad Hussain Shahzad & Naveed Raza & Aneese Hayat Awan, 2014. "Commodities and Stock Investment," SAGE Open, , vol. 4(3), pages 21582440145, September.
- Zhou, Xiaoran & Enilov, Martin & Parhi, Mamata, 2024. "Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets," Energy Economics, Elsevier, vol. 132(C).
- Charalampos Basdekis & Apostolos Christopoulos & Ioannis Katsampoxakis & Vasileios Nastas, 2022. "The Impact of the Ukrainian War on Stock and Energy Markets: A Wavelet Coherence Analysis," Energies, MDPI, vol. 15(21), pages 1-15, November.
- Binqing Xiao & Honghai Yu & Libing Fang & Sifang Ding, 2020. "Estimating the connectedness of commodity futures using a network approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 598-616, April.
- Rehman, Mobeen Ur & Vo, Xuan Vinh, 2021. "Energy commodities, precious metals and industrial metal markets: A nexus across different investment horizons and market conditions," Resources Policy, Elsevier, vol. 70(C).
- Abderrazek Ben Hamouda, 2023. "Revisiting the Causality between Oil Prices and Stock Markets in Selected MENA Countries: A Bootstrap Rolling-window Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 13(5), pages 109-118, September.
- Tarek Bouazizi & Mongi Lassoued & Zouhaier Hadhek, 2021. "Oil Price Volatility Models during Coronavirus Crisis: Testing with Appropriate Models Using Further Univariate GARCH and Monte Carlo Simulation Models," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 281-292.
- Chen, Xiangyu & Tongurai, Jittima, 2021. "Cross-commodity hedging for illiquid futures: Evidence from China's base metal futures market," Global Finance Journal, Elsevier, vol. 49(C).
- Nader Naifar, 2018. "Exploring the Dynamic Links between GCC Sukuk and Commodity Market Volatility," IJFS, MDPI, vol. 6(3), pages 1-18, August.
- Haase, Marco & Seiler Zimmermann, Yvonne & Zimmermann, Heinz, 2016. "The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 1-15.
- Wen, Xiaoqian & Wei, Yu & Huang, Dengshi, 2012. "Measuring contagion between energy market and stock market during financial crisis: A copula approach," Energy Economics, Elsevier, vol. 34(5), pages 1435-1446.
- Bianchi, Robert J. & Fan, John Hua & Todorova, Neda, 2020. "Financialization and de-financialization of commodity futures: A quantile regression approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
- Yang, Baochen & Pu, Yingjian & Su, Yunpeng, 2020. "The financialization of Chinese commodity markets," Finance Research Letters, Elsevier, vol. 34(C).
- F. Benedetto & L. Mastroeni & P. Vellucci, 2021. "Modeling the flow of information between financial time-series by an entropy-based approach," Annals of Operations Research, Springer, vol. 299(1), pages 1235-1252, April.
- Ponomareva, Natalia & Sheen, Jeffrey & Wang, Ben Zhe, 2024. "Metal and energy price uncertainties and the global economy," Journal of International Money and Finance, Elsevier, vol. 143(C).
- Sandrine Kablan & Zied Ftiti & Khaled Guesmi, 2017.
"Commodity price cycles and financial pressures in African commodities exporters [Cycles de prix des matières premières et tensions financières dans les pays exportateurs de matières premières],"
Post-Print
hal-04281443, HAL.
- Kablan, Sandrine & Ftiti, Zied & Guesmi, Khaled, 2017. "Commodity price cycles and financial pressures in African commodities exporters," Emerging Markets Review, Elsevier, vol. 30(C), pages 215-231.
- Liu, Lu & Zhang, Xiang, 2019. "Financialization and commodity excess spillovers," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 195-216.
- Liuguo Shao & Hua Zhang & Senfeng Chang & Ziyang Wang, 2024. "Dynamic connectedness between China's commodity markets and China's sectoral stock markets: A multidimensional analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 903-926, January.
- Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Commodity futures returns and policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 364-383.
- Makkonen, Adam & Vallström, Daniel & Uddin, Gazi Salah & Rahman, Md Lutfur & Haddad, Michel Ferreira Cardia, 2021. "The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns," Energy Economics, Elsevier, vol. 100(C).
- Hayette Gatfaoui, 2019.
"Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures,"
Post-Print
hal-02115626, HAL.
- Hayette Gatfaoui, 2018. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Papers 1811.02382, arXiv.org.
- Gatfaoui, Hayette, 2019. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Energy Economics, Elsevier, vol. 80(C), pages 132-152.
- Degiannakis, Stavros & Filis, George, 2018. "Forecasting oil prices: High-frequency financial data are indeed useful," Energy Economics, Elsevier, vol. 76(C), pages 388-402.
- Anna Creti & Marc Joëts & Valérie Mignon, 2013.
"On the links between stock and commodity markets’ volatility,"
Post-Print
hal-01385868, HAL.
- Anna Creti & Marc Joëts & Valérie Mignon, 2012. "On the links between stock and commodity markets' volatility," Working Papers hal-04141042, HAL.
- Anna Creti & Marc Joëts & Valérie Mignon, 2012. "On the links between stock and commodity markets' volatility," EconomiX Working Papers 2012-42, University of Paris Nanterre, EconomiX.
- Anna Creti & Marc Joëts & Valérie Mignon, 2012. "On the links between stock and commodity markets' volatility," Working Papers 2012-20, CEPII research center.
- Creti, Anna & Joëts, Marc & Mignon, Valérie, 2013. "On the links between stock and commodity markets' volatility," Energy Economics, Elsevier, vol. 37(C), pages 16-28.
- Selma Izadi & M. Kabir Hassan, 2018. "Portfolio and hedging effectiveness of financial assets of the G7 countries," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(2), pages 183-213, August.
- Sifat, Imtiaz & Ghafoor, Abdul & Ah Mand, Abdollah, 2021. "The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
- Tom Erik Sønsteng Henriksen & Alois Pichler & Sjur Westgaard & Stein Frydenberg, 2019. "Can commodities dominate stock and bond portfolios?," Annals of Operations Research, Springer, vol. 282(1), pages 155-177, November.
- Duc Khuong Nguyen & Nikolas Topaloglou & Thomas Walther, 2020.
"Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach,"
Working Papers
2020-009, Department of Research, Ipag Business School.
- Nguyen, Duc Khuong & Topaloglou, Nikolas & Walther, Thomas, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," MPRA Paper 103870, University Library of Munich, Germany.
- Dimitrios Koutmos & Timothy King & Constantin Zopounidis, 2021. "Hedging uncertainty with cryptocurrencies: Is bitcoin your best bet?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(4), pages 815-837, December.
- Nikolaos Antonakakis & Tsangyao Chang & Juncal Cunado & Rangan Gupta, 2016.
"The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis,"
Working Papers
201619, University of Pretoria, Department of Economics.
- Antonakakis, Nikolaos & Chang, Tsangyao & Cunado, Juncal & Gupta, Rangan, 2018. "The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis," Finance Research Letters, Elsevier, vol. 24(C), pages 1-9.
- Chen, Yufeng & Qu, Fang, 2019. "Leverage effect and dynamics correlation between international crude oil and China’s precious metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
- Chen, James Ming & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2021. "Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning," Resources Policy, Elsevier, vol. 73(C).
- Nguyen, Thi Thu Ha & Naeem, Muhammad Abubakr & Balli, Faruk & Balli, Hatice Ozer & Vo, Xuan Vinh, 2021. "Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds," Finance Research Letters, Elsevier, vol. 40(C).
- De Santis, Roberto A. & Stein, Michael, 2014.
"Financial indicators signalling correlation changes in sovereign bond markets,"
Working Paper Series
1746, European Central Bank.
- De Santis, Roberto A. & Stein, Michael, 2015. "Financial indicators signaling correlation changes in sovereign bond markets," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 86-102.
- Nagayev, Ruslan & Disli, Mustafa & Inghelbrecht, Koen & Ng, Adam, 2016. "On the dynamic links between commodities and Islamic equity," Energy Economics, Elsevier, vol. 58(C), pages 125-140.
- Daskalaki, Charoula & Skiadopoulos, George, 2011. "Should investors include commodities in their portfolios after all? New evidence," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2606-2626, October.
- Gagnon, Marie-Hélène & Manseau, Guillaume & Power, Gabriel J., 2020. "They're back! Post-financialization diversification benefits of commodities," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Xiao, Jihong & Wang, Yudong, 2022. "Good oil volatility, bad oil volatility, and stock return predictability," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 953-966.
- Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014.
"Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory,"
Working Papers
2014-325, Department of Research, Ipag Business School.
- Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-389, Department of Research, Ipag Business School.
- Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Energy Economics, Elsevier, vol. 41(C), pages 1-18.
- Qadan, Mahmoud & Jacob, Maram, 2022. "The value premium and investors' appetite for risk," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 194-219.
- Liao, Jia & Qian, Qi & Xu, Xiangyun, 2018. "Whether the fluctuation of China’s financial markets have impact on global commodity prices?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1030-1040.
- Kaushik Ranjan Bandyopadhyay, 2022. "Oil and Gas Markets and COVID-19: A Critical Rumination on Drivers, Triggers, and Volatility," Energies, MDPI, vol. 15(8), pages 1-21, April.
- Reboredo, Juan C. & Uddin, Gazi Salah, 2016. "Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 284-298.
- Tongshuai Qiao & Liyan Han, 2023. "COVID‐19 and tail risk contagion across commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 242-272, February.
- Lya Paola Sierra & Luis Eduardo Gir n & Carolina Osorio, 2017. "Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 15-22.
- Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Rehman, Mobeen Ur & Salman, Aneel, 2019. "Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models," Resources Policy, Elsevier, vol. 61(C), pages 210-230.
- Ziadat, Salem Adel & McMillan, David G. & Herbst, Patrick, 2022. "Oil shocks and equity returns during bull and bear markets: The case of oil importing and exporting nations," Resources Policy, Elsevier, vol. 75(C).
- Ahmed, Abdullahi D. & Huo, Rui, 2021. "Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China," Energy Economics, Elsevier, vol. 93(C).
- Nagayev, Ruslan & Masih, Mansur, 2013. "Should Shariah-compliant investors include commodities in their portfolios? New evidence," MPRA Paper 58851, University Library of Munich, Germany.
- Elsayed, Ahmed H. & Naifar, Nader & Nasreen, Samia & Tiwari, Aviral Kumar, 2022. "Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic," Energy Economics, Elsevier, vol. 107(C).
- Urom, Christian & Anochiwa, Lasbrey & Yuni, Denis & Idume, Gabriel, 2019. "Asymmetric linkages among precious metals, global equity and bond yields: The role of volatility and business cycle factors," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
- Hemei Li & Zhenya Liu & Shixuan Wang, 2022.
"Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2438-2457, April.
- Hemei Li & Zhenya Liu & Shixuan Wang, 2020. "Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach," Post-Print hal-03513413, HAL.
- M.Fatih Oztek & Nadir Ocal, 2013. "Financial Crises, Financialization of Commodity Markets and Correlation of Agricultural Commodity Index with Precious Metal Index and S&P500," ERC Working Papers 1302, ERC - Economic Research Center, Middle East Technical University, revised Feb 2013.
- Degiannakis, Stavros & Filis, George, 2017.
"Forecasting oil price realized volatility using information channels from other asset classes,"
MPRA Paper
96276, University Library of Munich, Germany.
- Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," Journal of International Money and Finance, Elsevier, vol. 76(C), pages 28-49.
- Kang, Sang Hoon & Yoon, Seong-Min, 2016. "Dynamic spillovers between Shanghai and London nonferrous metal futures markets," Finance Research Letters, Elsevier, vol. 19(C), pages 181-188.
- Hedi Ben Haddad & Imed Mezghani & Abdessalem Gouider, 2021. "The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties," Economies, MDPI, vol. 9(2), pages 1-22, June.
- Shahzad, Syed Jawad Hussain & Mensi, Walid & Hammoudeh, Shawkat & Rehman, Mobeen Ur & Al-Yahyaee, Khamis H., 2018. "Extreme dependence and risk spillovers between oil and Islamic stock markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 42-63.
- Muhammad Abubakr Naeem & Saqib Farid & Safwan Mohd Nor & Syed Jawad Hussain Shahzad, 2021. "Spillover and Drivers of Uncertainty among Oil and Commodity Markets," Mathematics, MDPI, vol. 9(4), pages 1-26, February.
- Salem Adel Ziadat & Aktham Maghyereh, 2024. "Energy profile and oil shocks: a dynamic analysis of their impact on stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 757-780, September.
- Awasthi, Kritika & Ahmad, Wasim & Rahman, Abdul & Phani, B.V., 2020. "When US sneezes, clichés spread: How do the commodity index funds react then?," Resources Policy, Elsevier, vol. 69(C).
- Wang, Nanying & Houston, Jack E., 2015. "The Co-movement between Non-GM and GM Soybean Price in China: Evidence from China Futures Market," 2015 Conference, August 9-14, 2015, Milan, Italy 211914, International Association of Agricultural Economists.
- Kae-Yih Tzeng & Joseph Chang Pying Shieh, 2016. "The transmission from equity markets to commodity markets in crises periods," Applied Economics, Taylor & Francis Journals, vol. 48(48), pages 4666-4689, October.
- Drachal, Krzysztof, 2021. "Forecasting selected energy commodities prices with Bayesian dynamic finite mixtures," Energy Economics, Elsevier, vol. 99(C).
- Hong, Yanran & Wang, Lu & Ye, Xiaoqing & Zhang, Yaojie, 2022. "Dynamic asymmetric impact of equity market uncertainty on energy markets: A time-varying causality analysis," Renewable Energy, Elsevier, vol. 196(C), pages 535-546.
- Bonato, Matteo, 2019. "Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 184-202.
- Essendorfer, Stephan & Diaz-Rainey, Ivan & Falta, Michael, 2015. "Creative destruction in Wall Street's technological arms race: Evidence from patent data," Technological Forecasting and Social Change, Elsevier, vol. 99(C), pages 300-316.
- Abdelkader Derbali & Tarek Chebbi, 2015.
"The dynamic correlation between energy commodities and Islamic stock market: analysis and forecasting,"
Post-Print
hal-01696007, HAL.
- Tarek Chebbi & Abdelkader Derbali, 2015. "The dynamic correlation between energy commodities and Islamic stock market: analysis and forecasting," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 8(2), pages 112-126.
- Qunwei Wang & Xingyu Dai & Dequn Zhou, 2020. "Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1117-1150, April.
- Devmali Perera & Jędrzej Białkowski & Martin T. Bohl, 2022. "Is the Tracking Error Time-Varying? Evidence from Agricultural ETCs," Working Papers in Economics 22/13, University of Canterbury, Department of Economics and Finance.
- De Santis, Roberto A. & Stein, Michael, 2016. "Correlation changes between the risk-free rate and sovereign yields of euro area countries," Working Paper Series 1979, European Central Bank.
- Gülin Vardar & Yener Coşkun & Tezer Yelkenci, 2018. "Shock transmission and volatility spillover in stock and commodity markets: evidence from advanced and emerging markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(2), pages 231-288, August.
- Powell, Robert J. & Vo, Duc H. & Pham, Thach N. & Singh, Abhay K., 2017. "The long and short of commodity tails and their relationship to Asian equity markets," Journal of Asian Economics, Elsevier, vol. 52(C), pages 32-44.
- Pavel Kotyza & Katarzyna Czech & Michał Wielechowski & Luboš Smutka & Petr Procházka, 2021. "Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?," Agriculture, MDPI, vol. 11(2), pages 1-16, January.
- Liao, Wenting & Ma, Jun & Zhang, Chengsi, 2024. "Commodity returns co-movement, uncertainty shocks, and the US dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 143(C).
- Belousova, Julia & Dorfleitner, Gregor, 2012. "On the diversification benefits of commodities from the perspective of euro investors," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2455-2472.
- Paraschiv, Florentina & Mudry, Pierre-Antoine & Andries, Alin Marius, 2015. "Stress-testing for portfolios of commodity futures," Economic Modelling, Elsevier, vol. 50(C), pages 9-18.
- Babalos, Vassilios & Stavroyiannis, Stavros & Gupta, Rangan, 2015. "Do commodity investors herd? Evidence from a time-varying stochastic volatility model," Resources Policy, Elsevier, vol. 46(P2), pages 281-287.
- Niaz Bashiri Behmiri & Matteo Manera & Marcella Nicolini, 2016.
"Understanding Dynamic Conditional Correlations between Commodities Futures Markets,"
Working Papers
2016.17, Fondazione Eni Enrico Mattei.
- Behmiri, Niaz Bashiri & Manera, Matteo & Nicolini, Marcella, 2016. "Understanding Dynamic Conditional Correlations between Commodities Futures Markets," ESP: Energy Scenarios and Policy 232223, Fondazione Eni Enrico Mattei (FEEM).
- Bassam Fattouh, 2012. "Speculation and Oil Price Formation," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, February.
- Matteo Bonato & Rangan Gupta & Chi Keung Marco Lau & Shixuan Wang, 2019.
"Moments-Based Spillovers across Gold and Oil Markets,"
Working Papers
201966, University of Pretoria, Department of Economics.
- Bonato, Matteo & Gupta, Rangan & Lau, Chi Keung Marco & Wang, Shixuan, 2020. "Moments-based spillovers across gold and oil markets," Energy Economics, Elsevier, vol. 89(C).
- Charoula Daskalaki, 2021. "New evidence on commodity stocks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 811-874, June.
- Libo Yin & Liyan Han, 2013. "Exogenous Shocks and Information Transmission in Global Copper Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(8), pages 724-751, August.
- Proelss, Juliane & Schweizer, Denis & Seiler, Volker, 2020.
"The economic importance of rare earth elements volatility forecasts,"
International Review of Financial Analysis, Elsevier, vol. 71(C).
- Juliane Proelss & Denis Schweizer & Volker Seiler, 2019. "The economic importance of rare earth elements volatility forecasts," Post-Print hal-02983233, HAL.
- Shalini, Velappan & Prasanna, Krishna, 2016. "Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics," Energy Economics, Elsevier, vol. 53(C), pages 40-57.
- Algieri, Bernardina & Kalkuhl, Matthias & Koch, Nicolas, 2015.
"A Tale for Two Tails: Explaining Extreme Events in Financialized Agricultural markets,"
2015 Conference (59th), February 10-13, 2015, Rotorua, New Zealand
202529, Australian Agricultural and Resource Economics Society.
- Algieri, Bernardina & Kalkuhl, Matthias & Koch, Nicolas, 2017. "A tale of two tails: Explaining extreme events in financialized agricultural markets," Food Policy, Elsevier, vol. 69(C), pages 256-269.
- Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch & Seong-Min Yoon, 2020.
"OPEC News and Jumps in the Oil Market,"
Working Papers
202053, University of Pretoria, Department of Economics.
- Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian & Yoon, Seong-Min, 2021. "OPEC news and jumps in the oil market," Energy Economics, Elsevier, vol. 96(C).
- Lu Yang & Lei Yang & Kung-Cheng Ho & Shigeyuki Hamori, 2019. "Determinants of the Long-Term Correlation between Crude Oil and Stock Markets," Energies, MDPI, vol. 12(21), pages 1-15, October.
- Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014. "The conditional dependence structure between precious metals: a copula-GARCH approach," MPRA Paper 56664, University Library of Munich, Germany.
- Grzegorz Zimon, 2023. "Prospects for the Development of Transport in Poland during the Energy Crisis," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 56-60, May.
- Sercan Demiralay & Selçuk Bayracı, 2021. "Should stock investors include cryptocurrencies in their portfolios after all? Evidence from a conditional diversification benefits measure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6188-6204, October.
- Luo, Qin & Ma, Feng & Wang, Jiqian & Wu, You, 2024. "Changing determinant driver and oil volatility forecasting: A comprehensive analysis," Energy Economics, Elsevier, vol. 129(C).
- Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A. & Fijorek, Kamil, 2018.
"What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets,"
Economics Discussion Papers
2018-55, Kiel Institute for the World Economy (IfW Kiel).
- Śmiech, Sławomir & Papież, Monika & Fijorek, Kamil & Dąbrowski, Marek A., 2019. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-32.
- Yongmin Zhang & Yiru Sun & Haili Shi & Shusheng Ding & Yingxue Zhao, 2024. "COVID-19, the Russia–Ukraine war and the connectedness between the U.S. and Chinese agricultural futures markets," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-15, December.
- Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah & Sjö, Bo, 2016. "On the time scale behavior of equity-commodity links: Implications for portfolio management," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 30-46.
- Okoroafor, Ugochi C. & Leirvik, Thomas, 2023. "Time-varying market efficiency of safe-haven assets," Finance Research Letters, Elsevier, vol. 56(C).
- Yoon, Seong-Min & Al Mamun, Md & Uddin, Gazi Salah & Kang, Sang Hoon, 2019. "Network connectedness and net spillover between financial and commodity markets," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 801-818.
- Don Bredin & Valerio Potì & Enrique Salvador, 2022. "Food Prices, Ethics and Forms of Speculation," Journal of Business Ethics, Springer, vol. 179(2), pages 495-509, August.
- Lin, Ling & Zhou, Zhongbao & Liu, Qing & Jiang, Yong, 2019. "Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis," Finance Research Letters, Elsevier, vol. 29(C), pages 245-254.
- Demiralay, Sercan & Ulusoy, Veysel, 2014. "Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises," MPRA Paper 59727, University Library of Munich, Germany.
- Niu, Hongli & Hu, Ziang, 2021. "Information transmission and entropy-based network between Chinese stock market and commodity futures market," Resources Policy, Elsevier, vol. 74(C).
- Godil, Danish Iqbal & Sarwat, Salman & Khan, Muhammad Kamran & Ashraf, Muhammad Sajjad & Sharif, Arshian & Ozturk, Ilhan, 2022. "How the price dynamics of energy resources and precious metals interact with conventional and Islamic Stocks: Fresh insight from dynamic ARDL approach," Resources Policy, Elsevier, vol. 75(C).
- Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2015. "Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 485-503.
- Srikanta Kundu & Nityananda Sarkar, 2016. "Is the Effect of Risk on Stock Returns Different in Up and Down Markets? A Multi-Country Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 53-71, September.
- Babak Fazelabdolabadi, 2019. "Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-20, December.
- Prokopczuk, Marcel & Stancu, Andrei & Symeonidis, Lazaros, 2019. "The economic drivers of commodity market volatility," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
- Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin, 2017. "Variance risk in commodity markets," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 136-149.
- Rehman, Mobeen Ur & Vo, Xuan Vinh & McIver, Ron & Kang, Sang Hoon, 2022. "Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions," Energy Economics, Elsevier, vol. 108(C).
- Mayer, Herbert & Rathgeber, Andreas & Wanner, Markus, 2017. "Financialization of metal markets: Does futures trading influence spot prices and volatility?," Resources Policy, Elsevier, vol. 53(C), pages 300-316.
- Billah, Mabruk & Amar, Amine Ben & Balli, Faruk, 2023. "The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
- Lin, Ling & Zhou, Zhongbao & Jiang, Yong & Ou, Yangchen, 2021. "Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
- Bosch, David & Smimou, K., 2022. "Traders’ motivation and hedging pressure in commodity futures markets," Research in International Business and Finance, Elsevier, vol. 59(C).
- Ali, Sajid & Raza, Naveed & Vinh Vo, Xuan & Le, Van, 2022. "Modelling the joint dynamics of financial assets using MGARCH family models: Insights into hedging and diversification strategies," Resources Policy, Elsevier, vol. 78(C).
- Mohammad Isleimeyyeh & Amine Ben Amar & Stéphane Goutte & Ramzi Benkraiem, 2022.
"Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?,"
Post-Print
hal-03674806, HAL.
- Amar, Amine Ben & Goutte, Stéphane & Isleimeyyeh, Mohammad & Benkraiem, Ramzi, 2022. "Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Mohammad Isleimeyyeh & Amine Ben Amar & Stéphane Goutte, 2021. "Commodity markets dynamics: What do crosscommodities over different nearest-to-maturities tell us?," Working Papers halshs-03211699, HAL.
- Amine Amar & Stéphane Goutte & Mohammad Isleimeyyeh & Ramzi Benkraiem, 2022. "Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?," Working Papers halshs-03672476, HAL.
- Bolong Cao & Shamila Jayasuriya & William Shambora, 2010. "Holding a commodity futures index fund in a globally diversified portfolio: A placebo effect?," Economics Bulletin, AccessEcon, vol. 30(3), pages 1842-1851.
- Mila Andreani & Vincenzo Candila & Giacomo Morelli & Lea Petrella, 2021. "Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach," Risks, MDPI, vol. 9(8), pages 1-20, August.
- Nikhil Kaushik, 2018. "Do global oil price shocks affect Indian metal market?," Energy & Environment, , vol. 29(6), pages 891-904, September.
- Zaremba, Adam, 2016. "Strategies Based on Momentum and Term Structure in Financialized Commodity Markets," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 31-46, January.
- Koch, Nicolas, 2014. "Tail events: A new approach to understanding extreme energy commodity prices," Energy Economics, Elsevier, vol. 43(C), pages 195-205.
- Jochen Güntner & Benjamin Karner, 2020. "Hedging with commodity futures and the end of normal Backwardation," Economics working papers 2020-21, Department of Economics, Johannes Kepler University Linz, Austria.
- Liu, Pan & Vedenov, Dmitry & Power, Gabriel J., 2020. "Commodity financialization and sector ETFs: Evidence from crude oil futures," Research in International Business and Finance, Elsevier, vol. 51(C).
- Martín-Barragán, Belén & Ramos, Sofía B. & Veiga, Helena, 2013.
"Correlations between oil and stock markets : a wavelet-based approach,"
DES - Working Papers. Statistics and Econometrics. WS
ws130504, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Martín-Barragán, Belén & Ramos, Sofia B. & Veiga, Helena, 2015. "Correlations between oil and stock markets: A wavelet-based approach," Economic Modelling, Elsevier, vol. 50(C), pages 212-227.
- Reiter-Gavish, Liron & Qadan, Mahmoud & Yagil, Joseph, 2021. "Financial advice: Who Exactly Follows It?," Research in Economics, Elsevier, vol. 75(3), pages 244-258.
- Néjib Hachicha & Amine Ben Amar & Ikrame Ben Slimane & Makram Bellalah & Jean-Luc Prigent, 2022.
"Dynamic connectedness and optimal hedging strategy among commodities and financial indices,"
Post-Print
hal-03745047, HAL.
- Hachicha, Néjib & Ben Amar, Amine & Ben Slimane, Ikrame & Bellalah, Makram & Prigent, Jean-Luc, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Barrales-Ruiz, Jose & Mohammed, Mikidadu, 2021. "Financial regimes and oil prices," Resources Policy, Elsevier, vol. 74(C).
- Giampaolo Gabbi & Elisa Ticci, 2014. "Implications of financialisation for sustainability," Working papers wpaper47, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
- Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.
- Chen, Yu-Fu & Mu, Xiaoyi, 2021. "Asymmetric volatility in commodity markets," Journal of Commodity Markets, Elsevier, vol. 22(C).
- Yiuman Tse & Michael Williams, 2011. "Does Index Speculation Impact Commodity Prices? An Intraday Futures Analysis Using intraday data, we find that unidirectional causality runs from commodity index linked commodity futures to non-index ," Working Papers 0007, College of Business, University of Texas at San Antonio.
- Sang Hoon Kang & Ron McIver & Seong-Min Yoon, 2016. "Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(7), pages 1698-1723, July.
- Degiannakis, Stavros & Filis, George, 2016. "Forecasting oil price realized volatility: A new approach," MPRA Paper 69105, University Library of Munich, Germany.
- Farid, Saqib & Naeem, Muhammad Abubakr & Paltrinieri, Andrea & Nepal, Rabindra, 2022. "Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities," Energy Economics, Elsevier, vol. 109(C).
- Wen, Shaobo & An, Haizhong & Huang, Shupei & Liu, Xueyong, 2019. "Dynamic impact of China's stock market on the international commodity market," Resources Policy, Elsevier, vol. 61(C), pages 564-571.
- Libo Yin, 2022. "The role of intermediary capital risk in predicting oil volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 401-416, January.
- Yao, Wei & Alexiou, Constantinos, 2024. "On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1054-1072.
- Broadstock, David C. & Filis, George, 2014. "Oil price shocks and stock market returns: New evidence from the United States and China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 417-433.
- Haase, Marco & Huss, Matthias, 2018. "Guilty speculators? Range-based conditional volatility in a cross-section of wheat futures," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 29-46.
- Olson, Eric & J. Vivian, Andrew & Wohar, Mark E., 2014. "The relationship between energy and equity markets: Evidence from volatility impulse response functions," Energy Economics, Elsevier, vol. 43(C), pages 297-305.
- Jan Żelazny, 2016. "Zmiany na rynkach towarowych a regulacje nadzorcze w Unii Europejskiej / Changes on Commodity Markets and Regulation in the European Union," International Economics, University of Lodz, Faculty of Economics and Sociology, issue 15, pages 199-210, September.
- Ben Amar, Amine & Goutte, Stéphane & Isleimeyyeh, Mohammad, 2022. "Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 386-400.
- Max F. Schöne & Stefan Spinler, 2017. "A four-factor stochastic volatility model of commodity prices," Review of Derivatives Research, Springer, vol. 20(2), pages 135-165, July.
- Suleman, Muhammad Tahir & McIver, Ron & Kang, Sang Hoon, 2021. "Asymmetric volatility connectedness between Islamic stock and commodity markets," Global Finance Journal, Elsevier, vol. 49(C).
- McMillan, David G. & Ziadat, Salem Adel & Herbst, Patrick, 2021. "The role of oil as a determinant of stock market interdependence: The case of the USA and GCC," Energy Economics, Elsevier, vol. 95(C).
- Huifu Nong, 2024. "Connectedness and risk transmission of China’s stock and currency markets with global commodities," Economic Change and Restructuring, Springer, vol. 57(1), pages 1-24, February.
- Michail Filippidis & George Filis & Georgios Magkonis & Panagiotis Tzouvanas, 2023. "Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 807-825, June.
- T. Miyazaki & S. Hamori, 2016. "Asymmetric correlations in gold and other financial markets," Applied Economics, Taylor & Francis Journals, vol. 48(46), pages 4419-4425, October.
- Nikitopoulos, Christina Sklibosios & Squires, Matthew & Thorp, Susan & Yeung, Danny, 2017. "Determinants of the crude oil futures curve: Inventory, consumption and volatility," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 53-67.
- Chatziantoniou, Ioannis & Filippidis, Michail & Filis, George & Gabauer, David, 2021. "A closer look into the global determinants of oil price volatility," Energy Economics, Elsevier, vol. 95(C).
- Christina Sklibosios Nikitopoulos & Alice Carole Thomas & Jianxin Wang, 2024. "Hedging pressure and oil volatility: Insurance versus liquidity demands," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 252-280, February.
- Berger, Theo & Czudaj, Robert L., 2020. "Commodity futures and a wavelet-based risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
- Ordu-Akkaya, Beyza Mina & Soytas, Ugur, 2020. "Unconventional monetary policy and financialization of commodities," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Wang, TianTian & Zhang, Dayong & Clive Broadstock, David, 2019. "Financialization, fundamentals, and the time-varying determinants of US natural gas prices," Energy Economics, Elsevier, vol. 80(C), pages 707-719.
- Lu Yang & Shigeyuki Hamori, 2018. "Modeling The Dynamics Of International Agricultural Commodity Prices: A Comparison Of Garch And Stochastic Volatility Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-20, September.
- Christian Gross, 2017. "Examining the Common Dynamics of Commodity Futures Prices," CQE Working Papers 6317, Center for Quantitative Economics (CQE), University of Muenster.
- Sharma, Shahil & Rodriguez, Ivan, 2019. "The diminishing hedging role of crude oil: Evidence from time varying financialization," Journal of Multinational Financial Management, Elsevier, vol. 52.
- Dahl, Roy Endré & Jonsson, Erlendur, 2018. "Volatility spillover in seafood markets," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 44-59.
- Hammoudeh, Shawkat & Nguyen, Duc Khuong & Reboredo, Juan Carlos & Wen, Xiaoqian, 2014. "Dependence of stock and commodity futures markets in China: Implications for portfolio investment," Emerging Markets Review, Elsevier, vol. 21(C), pages 183-200.
- Adams, Zeno & Kartsakli, Maria, 2017. "Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization," Working Papers on Finance 1710, University of St. Gallen, School of Finance.
- Ma, Richie Ruchuan & Xiong, Tao, 2021. "Price explosiveness in nonferrous metal futures markets," Economic Modelling, Elsevier, vol. 94(C), pages 75-90.
- Mofleh Alshogeathri & Jamel Jouini, 2017. "Linkages Between Equity and Global Food Markets: New Evidence from Including Structural Changes," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(3), pages 166-198, June.
- Mensi, Walid & Beljid, Makram & Boubaker, Adel & Managi, Shunsuke, 2013.
"Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold,"
MPRA Paper
44395, University Library of Munich, Germany.
- Mensi, Walid & Beljid, Makram & Boubaker, Adel & Managi, Shunsuke, 2013. "Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold," Economic Modelling, Elsevier, vol. 32(C), pages 15-22.
- Adams, Zeno & Collot, Solène & Kartsakli, Maria, 2020. "Have commodities become a financial asset? Evidence from ten years of Financialization," Energy Economics, Elsevier, vol. 89(C).
- Su, Chi-Wei & Khan, Khalid & Tao, Ran & Umar, Muhammad, 2020. "A review of resource curse burden on inflation in Venezuela," Energy, Elsevier, vol. 204(C).
- Zaremba, Adam & Umar, Zaghum & Mikutowski, Mateusz, 2021. "Commodity financialisation and price co-movement: Lessons from two centuries of evidence," Finance Research Letters, Elsevier, vol. 38(C).
- Charfeddine, Lanouar & Benlagha, Noureddine, 2016. "A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 168-189.
- Chen, Yu-Lun & Mo, Wan-Shin & Chang, Ya-Kai, 2022. "Investor sentiment spillover effect and market quality in crude oil futures," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 177-193.
- Jonathan A. Batten & Peter G. Szilagyi & Wagner, 2015. "Should emerging market investors buy commodities?," Applied Economics, Taylor & Francis Journals, vol. 47(39), pages 4228-4246, August.
- Cifarelli, Giulio & Paladino, Giovanna, 2020. "A non-linear analysis of the sovereign bank nexus in the EU," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
- Caporin, Massimiliano & Naeem, Muhammad Abubakr & Arif, Muhammad & Hasan, Mudassar & Vo, Xuan Vinh & Hussain Shahzad, Syed Jawad, 2021. "Asymmetric and time-frequency spillovers among commodities using high-frequency data," Resources Policy, Elsevier, vol. 70(C).
- Martin Enilov & Giorgio Fazio & Atanu Ghoshray, 2023. "Global connectivity between commodity prices and national stock markets: A time‐varying MIDAS analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2607-2619, July.
- Rodrigo da Silva Souza & Leonardo B. de Mattos & João E. de Lima, 2021. "Commodity prices and the Brazilian real exchange rate," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3152-3172, April.
- Wang, Jiashun & Wang, Jiqian & Ma, Feng, 2024. "International commodity market and stock volatility predictability: Evidence from G7 countries," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 62-71.
- Mensi, Walid & Hammoudeh, Shawkat & Kang, Sang Hoon, 2015. "Precious metals, cereal, oil and stock market linkages and portfolio risk management: Evidence from Saudi Arabia," Economic Modelling, Elsevier, vol. 51(C), pages 340-358.
- Venkata Sai Srinivasa Rao Muramalla & Hassan Ali Alqahtani, 2020. "Long Run Association of Oil Prices and Stock Prices: A Case of Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 593-600.
- Akyildirim, Erdinc & Cepni, Oguzhan & Pham, Linh & Uddin, Gazi Salah, 2022. "How connected is the agricultural commodity market to the news-based investor sentiment?," Energy Economics, Elsevier, vol. 113(C).
- Syed Abul, Basher & Perry, Sadorsky, 2015.
"Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH,"
MPRA Paper
68231, University Library of Munich, Germany.
- Basher, Syed Abul & Sadorsky, Perry, 2016. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," Energy Economics, Elsevier, vol. 54(C), pages 235-247.
- Jaehwan Park, 2018. "Volatility Transmission between Oil and LME Futures," Applied Economics and Finance, Redfame publishing, vol. 5(2), pages 65-72, March.
- Noureddine Benlagha & Slim Mseddi, 2019. "Return and volatility spillovers in the presence of structural breaks: evidence from GCC Islamic and conventional banks," Journal of Asset Management, Palgrave Macmillan, vol. 20(1), pages 72-90, February.
- Bassam Fattouh & Lavan Mahadeva, 2014. "Causes and Implications of Shifts in Financial Participation in Commodity Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(8), pages 757-787, August.
- Michael Graham & Jarno Kiviaho & Jussi Nikkinen, 2013. "Short-term and long-term dependencies of the S&P 500 index and commodity prices," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 583-592, March.
- Yuexiang Jiang & Luyuan Zheng & Jiazhen Wang, 2021. "Research on external financial risk measurement of China real estate," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5472-5484, October.
- Salem Adel Ziadat & David G. McMillan, 2022. "Oil-stock nexus: the role of oil shocks for GCC markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 39(5), pages 801-818, May.
- Liu, Xiaoqin & Wojewodzki, Michal & Cai, Yifei & Sharma, Satish, 2023. "The dynamic relationships between carbon prices and policy uncertainties," Technological Forecasting and Social Change, Elsevier, vol. 188(C).
- Qadan, Mahmoud, 2019. "Risk appetite and the prices of precious metals," Resources Policy, Elsevier, vol. 62(C), pages 136-153.
- Wajdi Hamma & Ahmed Ghorbel & Anis Jarboui, 2021. "Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 179-199, May.
- Christina Anderl & Guglielmo Maria Caporale, 2024. "Global Food Prices and Inflation," CESifo Working Paper Series 10992, CESifo.
- Michel A. Robe & Jonathan Wallen, 2016. "Fundamentals, Derivatives Market Information and Oil Price Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(4), pages 317-344, April.
- Panagiotis Delis & Stavros Degiannakis & George Filis, 2022. "What matters when developing oil price volatility forecasting frameworks?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 361-382, March.
- Zhang, Yue-Jun & Lin, Jia-Juan, 2019. "Can the VAR model outperform MRS model for asset allocation in commodity market under different risk preferences of investors?," International Review of Financial Analysis, Elsevier, vol. 66(C).
- Mensi, Walid & Al Rababa'a, Abdel Razzaq & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets," Energy Economics, Elsevier, vol. 98(C).
- Takashi Miyazaki, 2019. "Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions," JRFM, MDPI, vol. 12(1), pages 1-18, February.
- Ferreira, Paulo & Almeida, Dora & Dionísio, Andreia & Bouri, Elie & Quintino, Derick, 2022. "Energy markets – Who are the influencers?," Energy, Elsevier, vol. 239(PA).
- Çiðdem Kurt Cihangir, 2018. "Küresel Risk Algýsýnýn Küresel Ticaret Üzerindeki Etkisi," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 6(1), pages 1-10.
- Harumi Ohmi & Tatsuyoshi Okimoto, 2016.
"Trends in stock-bond correlations,"
Applied Economics, Taylor & Francis Journals, vol. 48(6), pages 536-552, February.
- OHMI Harumi & OKIMOTO Tatsuyoshi, 2015. "Trends in Stock-Bond Correlations," Discussion papers 15115, Research Institute of Economy, Trade and Industry (RIETI).
- Fethke, Tobias & Prokopczuk, Marcel, 2018. "Is Commodity Index Investing Profitable?," Hannover Economic Papers (HEP) dp-635, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Shital Jhunjhunwala & Sandra Suresh, 2024. "Commodity and Stock Market Interlinkages: Opportunities and Challenges for Investors in Indian Market," Global Business Review, International Management Institute, vol. 25(2_suppl), pages 42-58, April.
- Ederer, Stefan & Heumesser, Christine & Staritz, Cornelia, 2013. "The role of fundamentals and financialisation in recent commodity price developments: An empirical analysis for wheat, coffee, cotton, and oil," Working Papers 42, Austrian Foundation for Development Research (ÖFSE).
- Manel Youssef & Khaled Mokni, 2019. "Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries?," Economies, MDPI, vol. 7(3), pages 1-22, July.
- Grosche, Stephanie & Heckelei, Thomas, 2014. "Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets," Discussion Papers 166079, University of Bonn, Institute for Food and Resource Economics.
- Michail Anthropelos & Michael Kupper & Antonis Papapantoleon, 2015. "An equilibrium model for spot and forward prices of commodities," Papers 1502.00674, arXiv.org, revised Jan 2017.
- Alqahtani Abdullah & Taillard Michael, 2019. "The Impact of US Economic Policy Uncertainty Shock on GCC Stock Market Performance," Asian Journal of Law and Economics, De Gruyter, vol. 10(2), pages 1-13, August.
- Chen, Jinyu & Zhu, Xuehong & Zhong, Meirui, 2019. "Nonlinear effects of financial factors on fluctuations in nonferrous metals prices: A Markov-switching VAR analysis," Resources Policy, Elsevier, vol. 61(C), pages 489-500.
- Demiralay, Sercan & Gencer, Hatice Gaye & Bayraci, Selcuk, 2021. "How do Artificial Intelligence and Robotics Stocks co-move with traditional and alternative assets in the age of the 4th industrial revolution? Implications and Insights for the COVID-19 period," Technological Forecasting and Social Change, Elsevier, vol. 171(C).
- Xiaochun Liu, 2018. "Structural Volatility Impulse Response Function and Asymptotic Inference," Journal of Financial Econometrics, Oxford University Press, vol. 16(2), pages 316-339.
- Han, Liyan & Zhou, Yimin & Yin, Libo, 2015. "Exogenous impacts on the links between energy and agricultural commodity markets," Energy Economics, Elsevier, vol. 49(C), pages 350-358.
- Liang Hu & Yoon‐Jin Lee, 2024. "New evidence on crude oil market efficiency," Economic Inquiry, Western Economic Association International, vol. 62(2), pages 892-916, April.
- Sharma, Aarzoo, 2022. "A comparative analysis of the financialization of commodities during COVID-19 and the global financial crisis using a quantile regression approach," Resources Policy, Elsevier, vol. 78(C).
- Ouyang, Ruolan & Zhang, Xuan, 2020. "Financialization of agricultural commodities: Evidence from China," Economic Modelling, Elsevier, vol. 85(C), pages 381-389.
- Jin, Jiayu & Han, Liyan & Wu, Lei & Zeng, Hongchao, 2020. "The hedging effectiveness of global sectors in emerging and developed stock markets," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 92-117.
- Riadh Abed & Amna Zardoub, 2019. "On the co-movements among gold and other financial markets: a multivariate time-varying asymmetric approach," International Economics and Economic Policy, Springer, vol. 16(4), pages 701-719, October.
- Kryzanowski, Lawrence & Zhang, Jie & Zhong, Rui, 2017. "Cross-financial-market correlations and quantitative easing," Finance Research Letters, Elsevier, vol. 20(C), pages 13-21.
- Nima Nonejad, 2020. "A detailed look at crude oil price volatility prediction using macroeconomic variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1119-1141, November.
- Elina Pradkhan, 2017. "Financial activity in agricultural futures markets: evidence from quantile regressions," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 61(4), pages 610-625, October.
- Yiuman Tse & Michael R. Williams, 2013. "Does Index Speculation Impact Commodity Prices? An Intraday Analysis," The Financial Review, Eastern Finance Association, vol. 48(3), pages 365-383, August.
- Mensi, Walid & Al-Yahyaee, Khamis Hamed & Hoon Kang, Sang, 2017. "Time-varying volatility spillovers between stock and precious metal markets with portfolio implications," Resources Policy, Elsevier, vol. 53(C), pages 88-102.
- Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Karikari, Nana Kwasi & Hammoudeh, Shawkat, 2022. "Time-varying dependence dynamics between international commodity prices and Australian industry stock returns: a Perspective for portfolio diversification," Energy Economics, Elsevier, vol. 108(C).
- Brian J. Henderson & Neil D. Pearson & Li Wang, 2015. "Editor's Choice New Evidence on the Financialization of Commodity Markets," The Review of Financial Studies, Society for Financial Studies, vol. 28(5), pages 1285-1311.
- Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Wei, Yu & Zhang, Jiahao & Bai, Lan & Wang, Yizhi, 2023. "Connectedness among El Niño-Southern Oscillation, carbon emission allowance, crude oil and renewable energy stock markets: Time- and frequency-domain evidence based on TVP-VAR model," Renewable Energy, Elsevier, vol. 202(C), pages 289-309.
- de Boyrie Maria E. & Pavlova Ivelina, 2018. "Equities and Commodities Comovements: Evidence from Emerging Markets," Global Economy Journal, De Gruyter, vol. 18(3), pages 1-14, September.
- Hu, Min & Zhang, Dayong & Ji, Qiang & Wei, Lijian, 2020. "Macro factors and the realized volatility of commodities: A dynamic network analysis," Resources Policy, Elsevier, vol. 68(C).
- Massimo Peri & Daniela Vandone & Lucia Baldi, 2017. "Volatility Spillover between Water, Energy and Food," Sustainability, MDPI, vol. 9(6), pages 1-16, June.
- Staritz, Cornelia, 2012. "Financial markets and the commodity price boom: Causes and implications for developing countries," Working Papers 30, Austrian Foundation for Development Research (ÖFSE).
- Borg, Elin & Kits, Ilya & Junttila, Juha & Uddin, Gazi Salah, 2022. "Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions," Renewable Energy, Elsevier, vol. 190(C), pages 879-892.
- Koichiro Moriya & Akihiko Noda, 2023. "On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices," Papers 2305.05998, arXiv.org, revised Mar 2024.
- Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min, 2017. "Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets," Energy Economics, Elsevier, vol. 62(C), pages 19-32.
- Bajo-Rubio, Oscar & Berke, Burcu & McMillan, David, 2017. "The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises," Research in International Business and Finance, Elsevier, vol. 41(C), pages 577-589.
- Caner Ozdurak & Alican Umut & Tugba Ozay, 2022. "The Interaction of Major Crypto-assets, Clean Energy, and Technology Indices in Diversified Portfolios," International Journal of Energy Economics and Policy, Econjournals, vol. 12(2), pages 480-490, March.
- Cologni, Alessandro & Scarpa, Elisa & Sitzia, Francesco Giuseppe, 2015. "Big Fish: Oil Markets and Speculation," Energy: Resources and Markets 206220, Fondazione Eni Enrico Mattei (FEEM).
- Trabelsi, Nader & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2022. "Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Annastiina Silvennoinen & Timo Teräsvirta, 2008.
"Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model,"
CREATES Research Papers
2008-05, Department of Economics and Business Economics, Aarhus University.
- Annastiina Silvennoinen & Timo Teräsvirta, 2009. "Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," Journal of Financial Econometrics, Oxford University Press, vol. 7(4), pages 373-411, Fall.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
Cited by:
- Aslanidis, Nektarios & Christiansen, Charlotte, 2012.
"Smooth transition patterns in the realized stock–bond correlation,"
Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
- Aslanidis, Nektarios & Christiansen, Charlotte, 2011. "Smooth Transition Patterns in the Realized Stock- Bond Correlation," Working Papers 2072/152138, Universitat Rovira i Virgili, Department of Economics.
- Nektarios Aslanidis & Charlotte Christiansen, 2010. "Smooth Transition Patterns in the Realized Stock Bond Correlation," CREATES Research Papers 2010-15, Department of Economics and Business Economics, Aarhus University.
- Aslanidis, Nektarios & Martínez Ibáñez, Óscar, 2012. "Modelling world investment markets using threshold conditional correlation models," Working Papers 2072/203167, Universitat Rovira i Virgili, Department of Economics.
- Asai Manabu & So Mike K.P., 2015. "Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes," Journal of Time Series Econometrics, De Gruyter, vol. 7(1), pages 69-94, January.
- Thieu, Le Quyen, 2016. "Variance targeting estimation of the BEKK-X model," MPRA Paper 75572, University Library of Munich, Germany.
- Serra, Teresa, 2011. "Food scare crises and price volatility: The case of the BSE in Spain," Food Policy, Elsevier, vol. 36(2), pages 179-185, April.
- Chun-Pin Hsu & Chin-Wen Huang & Wan-Jiun Chiou, 2012. "Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets," Review of Quantitative Finance and Accounting, Springer, vol. 39(4), pages 447-468, November.
- Hira Aftab & A. B. M. Rabiul Alam Beg, 2021. "Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market," IJFS, MDPI, vol. 9(1), pages 1-13, January.
- Woraphon Yamaka & Paravee Maneejuk, 2020. "Analyzing the Causality and Dependence between Gold Shocks and Asian Emerging Stock Markets: A Smooth Transition Copula Approach," Mathematics, MDPI, vol. 8(1), pages 1-27, January.
- Chuffart, Thomas, 2022. "Interest in cryptocurrencies predicts conditional correlation dynamics," Finance Research Letters, Elsevier, vol. 46(PA).
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015.
"Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix),"
AMSE Working Papers
1516, Aix-Marseille School of Economics, France.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," Working Papers halshs-01133751, HAL.
- Philippe Charlot & Olivier Darné & Zakaria Moussa, 2014.
"Commodity returns co-movements: Fundamentals or "style" effect?,"
Working Papers
hal-01093631, HAL.
- Charlot, Philippe & Darné, Olivier & Moussa, Zakaria, 2016. "Commodity returns co-movements: Fundamentals or “style” effect?," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 130-160.
- Hussain, Saiful Izzuan & Nur-Firyal, R. & Ruza, Nadiah, 2022. "Linkage transitions between oil and the stock markets of countries with the highest COVID-19 cases," Journal of Commodity Markets, Elsevier, vol. 28(C).
- Aslanidis, Nektarios & Casas, Isabel, 2011. "Modelling asset correlations: A nonparametric approach," Working Papers 2011-01, University of Sydney, School of Economics.
- Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2007.
"Business Cycle Synchronization of the Euro Area with the New and Negotiating Member Countries,"
Centre for Growth and Business Cycle Research Discussion Paper Series
91, Economics, The University of Manchester.
- Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2007. "Business Cycle Synchrinization of the Euro Area with the New and Negotiating Member Countries," University of Cyprus Working Papers in Economics 7-2007, University of Cyprus Department of Economics.
- Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2010. "Business cycle synchronization of the euro area with the new and negotiating member countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 288-306.
- Christian Conrad & Menelaos Karanasos, 2008.
"Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model,"
KOF Working papers
08-189, KOF Swiss Economic Institute, ETH Zurich.
- Conrad, Christian & Karanasos, Menelaos, 2010. "Negative Volatility Spillovers In The Unrestricted Eccc-Garch Model," Econometric Theory, Cambridge University Press, vol. 26(3), pages 838-862, June.
- Philippe Charlot & Vêlayoudom Marimoutou, 2011. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée)," Working Papers hal-00605965, HAL.
- Dark, Jonathan, 2024. "An adaptive long memory conditional correlation model," Journal of Empirical Finance, Elsevier, vol. 75(C).
- Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2013. "Illiquidity shocks and the comovement between stocks: New evidence using smooth transition," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 1-15.
- Dahiru A. Balaa & Taro Takimotob, 2017. "Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(1), pages 25-48, March.
- Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
- Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with smooth transition in variances," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 43-57.
- Hussain, Saiful Izzuan & Li, Steven, 2018. "The dependence structure between Chinese and other major stock markets using extreme values and copulas," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 421-437.
- Henri Audigé, 2013. "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," Working Papers hal-04141224, HAL.
- Park, Keehwan & Fang, Zhongzheng & Ho Ha, Young, 2019. "Stock and bond returns correlation in Korea: Local versus global risk during crisis periods," Journal of Asian Economics, Elsevier, vol. 65(C).
- Maria Kasch & Massimiliano Caporin, 2008.
"Volatility Threshold Dynamic Conditional Correlations: An International Analysis,"
"Marco Fanno" Working Papers
0065, Dipartimento di Scienze Economiche "Marco Fanno".
- Maria Kasch & Massimiliano Caporin, 2013. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 11(4), pages 706-742, September.
- Annastiina Silvennoinen & Susan Thorp, 2015.
"Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics,"
NCER Working Paper Series
109, National Centre for Econometric Research.
- Annastiina Silvennoinen & Susan Thorp, 2016. "Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 522-544, June.
- Cagliesi, Gabriella & Guidi, Francesco, 2021. "A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
- Jose Arreola Hernandez & Sang Hoon Kang & Seong-Min Yoon, 2022. "Spillovers and portfolio optimization of precious metals and global/regional equity markets," Applied Economics, Taylor & Francis Journals, vol. 54(20), pages 2320-2342, April.
- Hafner, Christian M. & Linton, Oliver, 2010.
"Efficient estimation of a multivariate multiplicative volatility model,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 55-73, November.
- Christian M. Hafner & Oliver Linton, 2009. "Efficient Estimation of a Multivariate Multiplicative Volatility Model," STICERD - Econometrics Paper Series 541, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Christian M. Hafner & Oliver Linton, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Post-Print hal-00732539, HAL.
- de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018.
"MGARCH models: Trade-off between feasibility and flexibility,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
- Almeida, Daniel de & Hotta, Luiz, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Bauwens, L. & Hafner C. & Laurent, S., 2011.
"Volatility Models,"
LIDAM Discussion Papers ISBA
2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012.
"Endogenous crisis dating and contagion using smooth transition structural GARCH,"
Working Papers
15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
- Mardi Dungey & George Milunovich & Susan Thorp & Minxian Yang, 2012. "Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH," Research Paper Series 312, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2015. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 71-79.
- Jin, Xin & Maheu, John M., 2016.
"Modeling covariance breakdowns in multivariate GARCH,"
Journal of Econometrics, Elsevier, vol. 194(1), pages 1-23.
- Xin Jin & John M. Maheu, 2014. "Modeling Covariance Breakdowns in Multivariate GARCH," Working Paper series 36_14, Rimini Centre for Economic Analysis.
- Jin, Xin & Maheu, John M, 2014. "Modeling Covariance Breakdowns in Multivariate GARCH," MPRA Paper 55243, University Library of Munich, Germany.
- Thieu, Le Quyen, 2016. "Equation by equation estimation of the semi-diagonal BEKK model with covariates," MPRA Paper 75582, University Library of Munich, Germany.
- Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
- De Santis, Roberto A. & Stein, Michael, 2014.
"Financial indicators signalling correlation changes in sovereign bond markets,"
Working Paper Series
1746, European Central Bank.
- De Santis, Roberto A. & Stein, Michael, 2015. "Financial indicators signaling correlation changes in sovereign bond markets," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 86-102.
- Adams, Zeno & Fuess, Roland & Glueck, Thorsten, 2016.
"Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance,"
Working Papers on Finance
1613, University of St. Gallen, School of Finance.
- Adams, Zeno & Füss, Roland & Glück, Thorsten, 2017. "Are correlations constant? Empirical and theoretical results on popular correlation models in finance," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 9-24.
- Nicolas Koch, 2014. "Dynamic linkages among carbon, energy and financial markets: a smooth transition approach," Applied Economics, Taylor & Francis Journals, vol. 46(7), pages 715-729, March.
- M.Fatih Oztek & Nadir Ocal, 2013. "Financial Crises, Financialization of Commodity Markets and Correlation of Agricultural Commodity Index with Precious Metal Index and S&P500," ERC Working Papers 1302, ERC - Economic Research Center, Middle East Technical University, revised Feb 2013.
- Lee, Chien-Chiang & Chiu, Yi-Bin, 2016. "Globalization and insurance activity: Evidence on the industrial and emerging countries," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 328-349.
- Gian Piero Aielli, 2011. "Dynamic Conditional Correlation: On properties and estimation," "Marco Fanno" Working Papers 0142, Dipartimento di Scienze Economiche "Marco Fanno".
- De Santis, Roberto A. & Stein, Michael, 2016. "Correlation changes between the risk-free rate and sovereign yields of euro area countries," Working Paper Series 1979, European Central Bank.
- Ahmed El Ghini & Youssef Saidi, 2015.
"Financial market contagion during the global financial crisis: evidence from the Moroccan stock market,"
International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 78-95.
- El GHINI, Ahmed & SAIDI, Youssef, 2013. "Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market," MPRA Paper 53392, University Library of Munich, Germany.
- Aslanidis, Nektarios & Savva, Christos S., 2010. "Modelling Interbank Relations during the International Financial Crisis," Working Papers 2072/148475, Universitat Rovira i Virgili, Department of Economics.
- Dimitrios D. Thomakos & Fotis Papailias, 2013.
"Covariance Averaging for Improved Estimation and Portfolio Allocation,"
Working Paper series
66_13, Rimini Centre for Economic Analysis.
- Fotis Papailias & Dimitrios Thomakos, 2015. "Covariance averaging for improved estimation and portfolio allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(1), pages 31-59, February.
- Christos Savva & Nektarios Aslanidis, 2010.
"Stock market integration between new EU member states and the Euro-zone,"
Empirical Economics, Springer, vol. 39(2), pages 337-351, October.
- Aslanidis, Nektarios & Savva, Christos S., 2008. "Stock market integration between new EU member states and the Euro-zone," Working Papers 2072/13263, Universitat Rovira i Virgili, Department of Economics.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007.
"Multivariate GARCH models,"
SSE/EFI Working Paper Series in Economics and Finance
669, Stockholm School of Economics, revised 18 Jan 2008.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, Department of Economics and Business Economics, Aarhus University.
- Audrino, Francesco, 2014.
"Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 43-60.
- Audrino, Francesco, 2011. "Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks," Economics Working Paper Series 1112, University of St. Gallen, School of Economics and Political Science.
- Christos S Savva, 2011. "Modeling interbank relations during the international financial crisis," Economics Bulletin, AccessEcon, vol. 31(1), pages 916-924.
- Manabu Asai, 2013. "Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(5), pages 469-480, August.
- Chou, Ray Yeutien & Cai, Yijie, 2009. "Range-based multivariate volatility model with double smooth transition in conditional correlation," Global Finance Journal, Elsevier, vol. 20(2), pages 137-152.
- Takashi Isogai, 2015. "An Empirical Study of the Dynamic Correlation of Japanese Stock Returns," Bank of Japan Working Paper Series 15-E-7, Bank of Japan.
- Nektarios Aslanidis & Isabel Casas, 2010. "Modelling asset correlations during the recent FInancial crisis: A semiparametric approach," CREATES Research Papers 2010-71, Department of Economics and Business Economics, Aarhus University.
- Díaz-Hernández, Adán & Constantinou, Nick, 2019. "A multiple regime extension to the Heston–Nandi GARCH(1,1) model," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 162-180.
- Philippe Charlot & Vêlayoudom Marimoutou, 2008. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model," Working Papers halshs-00285866, HAL.
- Manh Cuong Dong & Cathy W. S. Chen & Sangyoel Lee & Songsak Sriboonchitta, 2019. "How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 343-366, January.
- Dark, Jonathan, 2018. "Multivariate models with long memory dependence in conditional correlation and volatility," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 162-180.
- Van Dijk, Dick & Munandar, Haris & Hafner, Christian, 2011.
"The Euro-introduction and non-Euro currencies,"
LIDAM Reprints ISBA
2011052, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Dick van Dijk & Haris Munandar & Christian Hafner, 2011. "The euro introduction and noneuro currencies," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 95-116.
- Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers 05-044/4, Tinbergen Institute, revised 08 Jun 2006.
- Stein, Michael & Islami, Mevlud & Lindemann, Jens, 2012. "Identifying time variability in stock and interest rate dependence," Discussion Papers 24/2012, Deutsche Bundesbank.
- Banerjee, Ameet Kumar & Sensoy, Ahmet & Goodell, John W., 2024. "Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy," Energy Economics, Elsevier, vol. 129(C).
- M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
- Cifarelli, Giulio & Paladino, Giovanna, 2020. "A non-linear analysis of the sovereign bank nexus in the EU," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
- Nurulkamal Masseran & Saiful Izzuan Hussain, 2020. "Copula Modelling on the Dynamic Dependence Structure of Multiple Air Pollutant Variables," Mathematics, MDPI, vol. 8(11), pages 1-15, October.
- Silvennoinen, Annastiina & Thorp, Susan, 2013.
"Financialization, crisis and commodity correlation dynamics,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 42-65.
- Annastiina Silvennoinen & Susan Thorp, 2010. "Financialization, Crisis and Commodity Correlation Dynamics," Research Paper Series 267, Quantitative Finance Research Centre, University of Technology, Sydney.
- Patricia Chelley‐Steeley & Neophytos Lambertides & Christos S. Savva, 2019. "Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity," European Financial Management, European Financial Management Association, vol. 25(1), pages 116-159, January.
- Dimitrios Thomakos & Johannes Klepsch & Dimitris N. Politis, 2020. "Model Free Inference on Multivariate Time Series with Conditional Correlations," Stats, MDPI, vol. 3(4), pages 1-26, November.
- Burda Martin, 2015. "Constrained Hamiltonian Monte Carlo in BEKK GARCH with Targeting," Journal of Time Series Econometrics, De Gruyter, vol. 7(1), pages 95-113, January.
- Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2023. "Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks," Econometrics, MDPI, vol. 11(1), pages 1-37, February.
- Pineda, Julián & Cortés, Lina M. & Perote, Javier, 2022. "Financial contagion drivers during recent global crises," Economic Modelling, Elsevier, vol. 117(C).
- Aslanidis, Nektarios & Casas, Isabel, 2013. "Nonparametric correlation models for portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2268-2283.
- Harumi Ohmi & Tatsuyoshi Okimoto, 2016.
"Trends in stock-bond correlations,"
Applied Economics, Taylor & Francis Journals, vol. 48(6), pages 536-552, February.
- OHMI Harumi & OKIMOTO Tatsuyoshi, 2015. "Trends in Stock-Bond Correlations," Discussion papers 15115, Research Institute of Economy, Trade and Industry (RIETI).
- Henri Audigé, 2013. "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," EconomiX Working Papers 2013-2, University of Paris Nanterre, EconomiX.
- Aslanidis, Nektarios & Dungey, Mardi & Savva, Christos S., 2008. "Progress Towards to Equity Market Integration in Eastern Europe," Working Papers 2072/13265, Universitat Rovira i Virgili, Department of Economics.
- Gkanoutas-Leventis, Angelos & Nesvetailova, Anastasia, 2015. "Financialisation, oil and the Great Recession," Energy Policy, Elsevier, vol. 86(C), pages 891-902.
- Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
- Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2010. "Co-movements between US and UK stock prices: the role of time-varying conditional correlations," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 366-380.
- Amer Ait Sidhoum & Teresa Serra, 2016. "Volatility Spillovers in the Spanish Food Marketing Chain: The Case of Tomato," Agribusiness, John Wiley & Sons, Ltd., vol. 32(1), pages 45-63, January.
- Demetris Koursaros & Nektarios Michail & Christos Savva, 2021. "Tell me where to stop: thresholds in the bank lending and output growth relationship," Empirical Economics, Springer, vol. 60(4), pages 1845-1873, April.
- Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2015. "The effect of security and market order flow shocks on co-movement," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 136-155.
- Mehmet Fatih Öztek & Nadir Öcal, 2016. "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, vol. 50(2), pages 317-360, March.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008.
"Multivariate GARCH models,"
CREATES Research Papers
2008-06, Department of Economics and Business Economics, Aarhus University.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Multivariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 669, Stockholm School of Economics, revised 18 Jan 2008.
Cited by:
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012.
"Multivariate Variance Targeting in the BEKK-GARCH Model,"
Discussion Papers
12-23, University of Copenhagen. Department of Economics.
- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," CREATES Research Papers 2012-53, Department of Economics and Business Economics, Aarhus University.
- Rasmus S. Pedersen & Anders Rahbek, 2014. "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 24-55, February.
- De Santis, Roberto A. & Sarno, Lucio, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 883, European Central Bank.
- João Caldeira & Guilherme Moura & André A.P. Santos, 2012. "Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market," Economics Bulletin, AccessEcon, vol. 32(3), pages 1848-1857.
- Guochang Wang & Wai Keung Li & Ke Zhu, 2018. "New HSIC-based tests for independence between two stationary multivariate time series," Papers 1804.09866, arXiv.org.
- Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008.
"Fitting vast dimensional time-varying covariance models,"
Economics Series Working Papers
403, University of Oxford, Department of Economics.
- Robert Engle & Neil Shephard & Kevin Shepphard, 2008. "Fitting vast dimensional time-varying covariance models," OFRC Working Papers Series 2008fe30, Oxford Financial Research Centre.
- Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle, 2021. "Fitting Vast Dimensional Time-Varying Covariance Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 652-668, July.
- Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2016.
"A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 814-829.
- Audrone Virbickaite & M. Concepci'on Aus'in & Pedro Galeano, 2013. "A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection," Papers 1301.5129, arXiv.org, revised Jan 2014.
- CARPANTIER, Jean - François, 2010.
"Commodities inventory effect,"
LIDAM Discussion Papers CORE
2010040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jean-François Carpantier & Arnaud Dufays, 2013. "Commodities Inventory Effect," Working Papers hal-01821144, HAL.
- Jean-François Carpantier & Arnaud Dufays, 2013. "Commodities Inventory Effect," DEM Discussion Paper Series 13-07, Department of Economics at the University of Luxembourg.
- Jean-Francois Carpantier, 2010. "Commodities inventory effect," Working Papers hal-01821158, HAL.
- Jensen, Mark J. & Maheu, John M., 2013.
"Bayesian semiparametric multivariate GARCH modeling,"
Journal of Econometrics, Elsevier, vol. 176(1), pages 3-17.
- Mark J. Jensen & John M. Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," FRB Atlanta Working Paper 2012-09, Federal Reserve Bank of Atlanta.
- Mark J. Jensen & John M. Maheu, 2012. "Bayesian Semiparametric Multivariate GARCH Modeling," Working Paper series 48_12, Rimini Centre for Economic Analysis.
- Mark J Jensen & John M Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," Working Papers tecipa-458, University of Toronto, Department of Economics.
- Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
- Philippe Charlot & Vêlayoudom Marimoutou, 2014.
"On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree,"
Working Papers
hal-00980125, HAL.
- Charlot, Philippe & Marimoutou, Vêlayoudom, 2014. "On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree," Energy Economics, Elsevier, vol. 44(C), pages 456-467.
- Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2014. "Worldwide Evidences in the Relationships between Agriculture, Energy and Water Sectors," 2014 International European Forum, February 17-21, 2014, Innsbruck-Igls, Austria 199346, International European Forum on System Dynamics and Innovation in Food Networks.
- Massimiliano Caporin & Michael McAleer, 2013.
"Ten Things You Should Know About DCC,"
Documentos de Trabajo del ICAE
2013-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," KIER Working Papers 854, Kyoto University, Institute of Economic Research.
- Caporin, M. & McAleer, M.J., 2013. "Ten Things You Should Know About DCC," Econometric Institute Research Papers EI 2013-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know About DCC," Working Papers in Economics 13/16, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
- Keith Pilbeam & Kjell Langeland, 2015. "Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts," International Economics and Economic Policy, Springer, vol. 12(1), pages 127-142, March.
- Büttner, David & Hayo, Bernd, 2010.
"News and correlations of CEEC-3 financial markets,"
Economic Modelling, Elsevier, vol. 27(5), pages 915-922, September.
- David Büttner & Bernd Hayo, 2009. "News and Correlations of CEEC-3 Financial Markets," MAGKS Papers on Economics 200944, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- He, Zhongfang, 2018. "A Class of Generalized Dynamic Correlation Models," MPRA Paper 84820, University Library of Munich, Germany.
- Mardi Dungey & Gerald P. Dwyer & Thomas Flavin, 2011.
"Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities,"
CAMA Working Papers
2011-30, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Mardi Dungey & Gerald P. Dwyer & Thomas Flavin, 2011. "Systematic and liquidity risk in subprime-mortgage backed securities," FRB Atlanta Working Paper 2011-15, Federal Reserve Bank of Atlanta.
- Mardi Dungey & Gerald Dwyer & Thomas Flavin, 2013. "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Open Economies Review, Springer, vol. 24(1), pages 5-32, February.
- Dungey, Mardi & Dwyer, Gerald P. & Flavin, Thomas, 2011. "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Working Papers 11817, University of Tasmania, Tasmanian School of Business and Economics.
- Thomas Flavin & Gerald P. Dwyer & Mardi Dungey, 2011. "Systematic and Liquidity Risk in Subprime-Mortgage Backed SecuritiesM," Economics Department Working Paper Series n219-11, Department of Economics, National University of Ireland - Maynooth.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012.
"Multivariate Rotated ARCH Models,"
Economics Papers
2012-W01, Economics Group, Nuffield College, University of Oxford.
- Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Scholarly Articles 34650305, Harvard University Department of Economics.
- Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
- Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH models," Economics Series Working Papers 594, University of Oxford, Department of Economics.
- Llorens-Terrazas, Jordi & Brownlees, Christian, 2023. "Projected Dynamic Conditional Correlations," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1761-1776.
- Mensi, Walid & Nekhili, Ramzi & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 73-96.
- Christian Conrad & Menelaos Karanasos, 2008.
"Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model,"
KOF Working papers
08-189, KOF Swiss Economic Institute, ETH Zurich.
- Conrad, Christian & Karanasos, Menelaos, 2010. "Negative Volatility Spillovers In The Unrestricted Eccc-Garch Model," Econometric Theory, Cambridge University Press, vol. 26(3), pages 838-862, June.
- Philippe Charlot & Vêlayoudom Marimoutou, 2011. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée)," Working Papers hal-00605965, HAL.
- Karol Szafranek, 2015.
"Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH,"
NBP Working Papers
213, Narodowy Bank Polski.
- Karol Szafranek, 2015. "Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH," EcoMod2015 8554, EcoMod.
- Massimo PERI & Daniela VANDONE & Lucia BALDI, 2014. "Water, Food, Energy: Searching for the Economic Nexus," Departmental Working Papers 2014-03, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2011.
"Multivariate option pricing with time varying volatility and correlations,"
Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2267-2281, September.
- Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," Cahiers de recherche 1020, CIRPEE.
- Jeroen Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing With Time Varying Volatility and Correlations," CIRANO Working Papers 2010s-23, CIRANO.
- Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Multivariate Option Pricing with Time Varying Volatility and Correlations," CREATES Research Papers 2010-19, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen J. K & STENTOFT, Lars, 2010. "Multivariate option pricing with time varying volatility and correlations," LIDAM Discussion Papers CORE 2010020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
- David M. Drukker, 2009. "New multivariate time-series estimators in Stata," DC09 Stata Conference 12, Stata Users Group.
- Carlo Drago & Andrea Scozzari, 2022. "Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis," Papers 2202.02197, arXiv.org.
- Gerrit B. Koester & Christoph Priesmeier, 2013.
"Does Wagner´s Law Ruin the Sustainability of German Public Finances?,"
FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 69(3), pages 256-288, September.
- Priesmeier, Christoph & Koester, Gerrit B., 2012. "Does Wagner's law ruin the sustainability of German public finances?," Discussion Papers 08/2012, Deutsche Bundesbank.
- Han, Liyan & Jin, Jiayu & Wu, Lei & Zeng, Hongchao, 2020. "The volatility linkage between energy and agricultural futures markets with external shocks," International Review of Financial Analysis, Elsevier, vol. 68(C).
- BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013.
"Multivariate volatility modeling of electricity futures,"
LIDAM Reprints CORE
2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
- Bauwens, Luc & Hafner, Christian M. & Pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," SFB 649 Discussion Papers 2011-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian M. & Reznikova, Olga, 2012.
"On the estimation of dynamic conditional correlation models,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3533-3545.
- Hafner, Christian & Reznikova, O., 2012. "On the estimation of dynamic conditional correlation models," LIDAM Reprints ISBA 2012021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, C. & Reznikova, O., 2010. "On the estimation of dynamic conditional correlation models," LIDAM Discussion Papers ISBA 2010006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012.
"Estimating VAR-MGARCH models in multiple steps,"
Working Papers. Serie AD
2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero M. Angeles & Eratalay M. Hakan, 2014. "Estimating VAR-MGARCH models in multiple steps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 339-365, May.
- Noureddine Benlagha, 2014. "Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 49-60, November.
- Kocaarslan, Baris & Soytas, Ugur, 2019. "Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar)," Energy Economics, Elsevier, vol. 84(C).
- Liang Ding & Hiroyoki Miyake & Hao Zou, 2011. "Asymmetric correlations in equity returns: a fundamental-based explanation," Applied Financial Economics, Taylor & Francis Journals, vol. 21(6), pages 389-399.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010.
"Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH,"
Working Papers in Economics
10/03, University of Canterbury, Department of Economics and Finance.
- Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," Econometric Institute Research Papers EI 2010-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," CIRJE F-Series CIRJE-F-704, CIRJE, Faculty of Economics, University of Tokyo.
- Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," KIER Working Papers 743, Kyoto University, Institute of Economic Research.
- Avarucci, Marco & Beutner, Eric & Zaffaroni, Paolo, 2013.
"On Moment Conditions For Quasi-Maximum Likelihood Estimation Of Multivariate Arch Models,"
Econometric Theory, Cambridge University Press, vol. 29(3), pages 545-566, June.
- Marco Avarucci & Eric Beutner & Paolo Zaffaroni, 2012. "On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models," DSS Empirical Economics and Econometrics Working Papers Series 2012/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Bauwens, L. & Hafner C. & Laurent, S., 2011.
"Volatility Models,"
LIDAM Discussion Papers ISBA
2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Annastiina Silvennoinen & Timo Teräsvirta, 2012.
"Modelling conditional correlations of asset returns: A smooth transition approach,"
CREATES Research Papers
2012-09, Department of Economics and Business Economics, Aarhus University.
- Annastiina Silvennoinen & Timo Ter�svirta, 2015. "Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 174-197, February.
- Francq, Christian & Zakoian, Jean-Michel, 2010. "QML estimation of a class of multivariate GARCH models without moment conditions on the observed process," MPRA Paper 20779, University Library of Munich, Germany.
- Helmut Luetkepohl, 2011.
"Vector Autoregressive Models,"
Economics Working Papers
ECO2011/30, European University Institute.
- Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
- Noureddine Benlagha & Wael Hemrit, 2018. "The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(4), pages 285-323, December.
- Gürtler, Marc & Rauh, Ronald, 2013. "Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns," Working Papers IF43V1, Technische Universität Braunschweig, Institute of Finance.
- Li, Weiming & Gao, Jing & Li, Kunpeng & Yao, Qiwei, 2016. "Modelling multivariate volatilities via latent common factors," LSE Research Online Documents on Economics 68121, London School of Economics and Political Science, LSE Library.
- Alexey Balaev, 2011. "Modeling multivariate parametric densities of financial returns (in Russian)," Quantile, Quantile, issue 9, pages 39-60, July.
- TRENCA Ioan & PETRIA Nicolae & DEZSI Eva, 2014. "Linkages Between The Stock Markets Of Eastern Europe," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 66(1), pages 91-104.
- Kocaarslan, Baris & Sari, Ramazan & Gormus, Alper & Soytas, Ugur, 2017. "Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 41-56.
- Chaker Aloui, 2011. "Latin American stock markets’ volatility spillovers during the financial crises: a multivariate FIAPARCH-DCC framework," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 4(2), pages 289-326, May.
- Adam E Clements & Ayesha Scott & Annastiina Silvennoinen, 2012. "Forecasting multivariate volatility in larger dimensions: some practical issues," NCER Working Paper Series 80, National Centre for Econometric Research.
- Pei Pei, 2010. "Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights," CAEPR Working Papers 2010-010, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Silvo Dajcman, 2012. "The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 368-390, August.
- Tsatsura, Oleg, 2010. "A Smooth Transition GARCH-M Model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 17(1), pages 45-61.
- Nick, Sebastian, 2013. "Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets," EWI Working Papers 2013-14, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007.
"Multivariate GARCH models,"
SSE/EFI Working Paper Series in Economics and Finance
669, Stockholm School of Economics, revised 18 Jan 2008.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, Department of Economics and Business Economics, Aarhus University.
- Jean-François Carpantier & Arnaud Dufays, 2012.
"Commodities volatility and the theory of storage,"
Working Papers
hal-01821149, HAL.
- CARPANTIER, Jean-François & DUFAYS, Arnaud, 2012. "Commodities volatility and the theory of storage," LIDAM Discussion Papers CORE 2012037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Zaichao Du & Pei Pei, 2020. "Backtesting portfolio value‐at‐risk with estimated portfolio weights," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 605-619, September.
- John Francis T. Diaz, 2018. "Volatility Dynamics in the ASEAN– China Free Trade Agreement," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3), pages 287-306, December.
- Leonardo Chaves Borges Cardoso & Maurício Vaz Lobo Bittencourt, 2016. "Price Volatility Transmission From Oil To Energy And Non-Energy Agricultural Commodities," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 181, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Trujillo-Barrera, Andres & Mallory, Mindy L. & Garcia, Philip, 2012. "Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(2), pages 1-16, August.
- Chou, Ray Yeutien & Cai, Yijie, 2009. "Range-based multivariate volatility model with double smooth transition in conditional correlation," Global Finance Journal, Elsevier, vol. 20(2), pages 137-152.
- Afees A. Salisu & Kazeem Isah, 2017. "Modeling the spillovers between stock market and money market in Nigeria," Working Papers 023, Centre for Econometric and Allied Research, University of Ibadan.
- Alexakis, Christos & Pappas, Vasileios, 2018. "Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes," Economic Modelling, Elsevier, vol. 73(C), pages 222-239.
- Serra, Teresa & Zilberman, David, 2013. "Biofuel-related price transmission literature: A review," Energy Economics, Elsevier, vol. 37(C), pages 141-151.
- David Büttner & Bernd Hayo, 2009.
"Determinants of European Stock Market Integration,"
MAGKS Papers on Economics
200932, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Büttner, David & Hayo, Bernd, 2011. "Determinants of European stock market integration," Economic Systems, Elsevier, vol. 35(4), pages 574-585.
- Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 646, Stockholm School of Economics.
- A. Maghyereh & B. Awartani, 2012. "Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE," Applied Financial Economics, Taylor & Francis Journals, vol. 22(10), pages 837-848, May.
- Balaev, Alexey, 2014. "The copula based on multivariate t-distribution with vector of degrees of freedom," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 90-110.
- Koenig, P., 2011. "Modelling Correlation in Carbon and Energy Markets," Cambridge Working Papers in Economics 1123, Faculty of Economics, University of Cambridge.
- Alan M. Rai, 2013. "The Impact of Policy Initiatives on Credit Spreads during the 2007-09 Financial Crisis," International Journal of Central Banking, International Journal of Central Banking, vol. 9(1), pages 45-104, March.
- VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," LIDAM Discussion Papers CORE 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Kwan, Clarence C.Y., 2008. "Estimation error in the average correlation of security returns and shrinkage estimation of covariance and correlation matrices," Finance Research Letters, Elsevier, vol. 5(4), pages 236-244, December.
- Adam E Clements & Mark Doolan & Stan Hurn & Ralf Becker, 2012. "Selecting forecasting models for portfolio allocation," NCER Working Paper Series 85, National Centre for Econometric Research.
- A. Can Inci & H.C. Li & Joseph McCarthy, 2011. "Measuring flight to quality: a local correlation analysis," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 10(1), pages 69-87, February.
- Tihana ŠKRINJARIĆ & Lidija DEDI & Boško ŠEGO, 2021. "Return and Volatility Spillover between Stock Prices and Exchange Rates in Croatia: A Spillover Methodology Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 93-108, December.
- Serra, Teresa, 2012. "Biofuel-related price volatility literature: a review and new approaches," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126057, International Association of Agricultural Economists.
- Nieto Domenech, Belén & Orbe Mandaluniz, Susan & Zárraga Alonso, Ainhoa, 2011. "Time-Varying Beta Estimators in the Mexican Emerging Market," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2018. "Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 168-186.
- Henri Audigé, 2013. "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," EconomiX Working Papers 2013-2, University of Paris Nanterre, EconomiX.
- Dennis, Wesselbaum, 2012. "Stochastic Volatility in the U.S. Labor Market," MPRA Paper 43054, University Library of Munich, Germany.
- Slim Mseddi & Noureddine Benlagha, 2017. "An Analysis of Spillovers Between Islamic and Conventional Stock Bank Returns: Evidence from the GCC Countries," Multinational Finance Journal, Multinational Finance Journal, vol. 21(2), pages 91-132, June.
- St'ephane Chr'etien & Juan-Pablo Ortega, 2011. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Papers 1101.5475, arXiv.org.
- Sebastian Missio & Sebastian Watzka, 2011. "Financial Contagion and the European Debt Crisis," CESifo Working Paper Series 3554, CESifo.
- Peri, M. & Vandone, D. & Baldi, L., 2015. "Volatility Spillover between Water, Food and Energy," 2015 Conference, August 9-14, 2015, Milan, Italy 212627, International Association of Agricultural Economists.
- Burhan F. Yavas & Lidija Dedi & Tihana Škrinjarić, 2022. "Did equity returns and volatilities change after the 2016 Trump election victory?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1291-1308, January.
- Pappas, Vasileios & Ingham, Hilary & Izzeldin, Marwan & Steele, Gerry, 2016. "Will the crisis “tear us apart”? Evidence from the EU," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 346-360.
- Xiaojing Zhang & Tao Sun, 2009. "Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets," IMF Working Papers 2009/166, International Monetary Fund.
- Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008.
"Parameterizing unconditional skewness in models for financial time series,"
CREATES Research Papers
2008-07, Department of Economics and Business Economics, Aarhus University.
- Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 208-230, Spring.
- Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Research Paper Series 169, Quantitative Finance Research Centre, University of Technology, Sydney.
Cited by:
- Xue, Wen-Jun & Zhang, Li-Wen, 2017. "Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models," Economic Modelling, Elsevier, vol. 60(C), pages 391-401.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009.
"Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models,"
CREATES Research Papers
2009-07, Department of Economics and Business Economics, Aarhus University.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche 0926, CIRPEE.
- Jeroen Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2014. "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
- ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009. "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE 2009013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Constantin ANGHELACHE & Janusz GRABARA & Alexandru MANOLE, 2016. "Using the Dynamic Model ARMA to Forecast the Macroeconomic Evolution," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(1), pages 3-13, January.
- Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2012.
"The impact of financial crises on the risk-return tradeoff and the leverage effect,"
CREATES Research Papers
2012-19, Department of Economics and Business Economics, Aarhus University.
- Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie, 2015. "The impact of financial crises on the risk–return tradeoff and the leverage effect," Economic Modelling, Elsevier, vol. 49(C), pages 407-418.
- Bent Jesper Christensen & Jie Zhu & Morten Ø. Nielsen, 2012. "The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect," Working Paper 1295, Economics Department, Queen's University.
- Timo Terasvirta & Zhenfang Zhao, 2011.
"Stylized facts of return series, robust estimates and three popular models of volatility,"
Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 67-94.
- Teräsvirta, Timo & Zhao, Zhenfang, 2007. "Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 662, Stockholm School of Economics, revised 01 Aug 2007.
- Bent Jesper Christensen & Jie Zhu & Morten Ø. Nielsen, 2009.
"Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model,"
Working Paper
1207, Economics Department, Queen's University.
- Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007. "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers 2007-10, Department of Economics and Business Economics, Aarhus University.
- Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie, 2010. "Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 460-470, June.
- Linton, Oliver & Wu, Jianbin, 2020. "A coupled component DCS-EGARCH model for intraday and overnight volatility," Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
- Dahiru A. Balaa & Taro Takimotob, 2017. "Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(1), pages 25-48, March.
- Wen-Jun Xue & Li-Wen Zhang, 2016. "Stock Return Autocorrelations and Predictability in the Chinese Stock Market: Evidence from Threshold Quantile Autoregressive Models," Working Papers 1605, Florida International University, Department of Economics.
- Bauwens, L. & Hafner C. & Laurent, S., 2011.
"Volatility Models,"
LIDAM Discussion Papers ISBA
2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- M. Angeles Carnero Fernández & Ana Pérez Espartero, 2018.
"Outliers and misleading leverage effect in asymmetric GARCH-type models,"
Working Papers. Serie AD
2018-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero M. Angeles & Pérez Ana, 2021. "Outliers and misleading leverage effect in asymmetric GARCH-type models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-19, February.
- María José Rodríguez & Esther Ruiz, 2012. "Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 637-668, September.
- Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
- Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel, 2015. "Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 7-18.
- Rodríguez, Mª José, 2009. "GARCH models with leverage effect : differences and similarities," DES - Working Papers. Statistics and Econometrics. WS ws090302, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 646, Stockholm School of Economics.
- Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carnero, M. Angeles & Pérez, Ana, 2019. "Leverage effect in energy futures revisited," Energy Economics, Elsevier, vol. 82(C), pages 237-252.
- Carnero, M. Angeles & León, Angel & Ñíguez, Trino-Manuel, 2023. "Skewness in energy returns: estimation, testing and retain-->implications for tail risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 178-189.
- Morema, Kgotso & Bonga-Bonga, Lumengo, 2018. "The impact of oil and gold price fluctuations on the South African equity market: volatility spillovers and implications for portfolio management," MPRA Paper 87637, University Library of Munich, Germany.
- José‐María Montero & Gema Fernández‐Avilés & María‐Carmen García, 2010. "Estimation of Asymmetric Stochastic Volatility Models: Application to Daily Average Prices of Energy Products," International Statistical Review, International Statistical Institute, vol. 78(3), pages 330-347, December.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2005.
"Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations,"
SSE/EFI Working Paper Series in Economics and Finance
577, Stockholm School of Economics, revised 01 Oct 2005.
- Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Research Paper Series 168, Quantitative Finance Research Centre, University of Technology, Sydney.
Cited by:
- Aslanidis, Nektarios & Martínez Ibáñez, Óscar, 2012. "Modelling world investment markets using threshold conditional correlation models," Working Papers 2072/203167, Universitat Rovira i Virgili, Department of Economics.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007.
"Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model,"
SSE/EFI Working Paper Series in Economics and Finance
0652, Stockholm School of Economics.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers 2008-05, Department of Economics and Business Economics, Aarhus University.
- Annastiina Silvennoinen & Timo Teräsvirta, 2009. "Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," Journal of Financial Econometrics, Oxford University Press, vol. 7(4), pages 373-411, Fall.
- Serra, Teresa, 2011. "Food scare crises and price volatility: The case of the BSE in Spain," Food Policy, Elsevier, vol. 36(2), pages 179-185, April.
- Nakatani, Tomoaki & Teräsvirta, Timo, 2007.
"Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models,"
SSE/EFI Working Paper Series in Economics and Finance
675, Stockholm School of Economics, revised 14 Feb 2008.
- Nakatani, Tomoaki & Teräsvirta, Timo, 2008. "Positivity constraints on the conditional variances in the family of conditional correlation GARCH models," Finance Research Letters, Elsevier, vol. 5(2), pages 88-95, June.
- Chia-Hao Lee & Shuh-Chyi Doong & Pei-I Chou, 2011. "Dynamic correlation between stock prices and exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 21(11), pages 789-800.
- Aslanidis, Nektarios & Casas, Isabel, 2011. "Modelling asset correlations: A nonparametric approach," Working Papers 2011-01, University of Sydney, School of Economics.
- Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2007.
"Business Cycle Synchronization of the Euro Area with the New and Negotiating Member Countries,"
Centre for Growth and Business Cycle Research Discussion Paper Series
91, Economics, The University of Manchester.
- Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2007. "Business Cycle Synchrinization of the Euro Area with the New and Negotiating Member Countries," University of Cyprus Working Papers in Economics 7-2007, University of Cyprus Department of Economics.
- Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2010. "Business cycle synchronization of the euro area with the new and negotiating member countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 288-306.
- Philippe Charlot & Vêlayoudom Marimoutou, 2011. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée)," Working Papers hal-00605965, HAL.
- Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2013. "Illiquidity shocks and the comovement between stocks: New evidence using smooth transition," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 1-15.
- Teresa Serra & José M. Gil, 2013.
"Price volatility in food markets: can stock building mitigate price fluctuations?,"
European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 40(3), pages 507-528, July.
- Serra, Teresa & Gil, Jose Maria, 2012. "Price volatility in food markets: can stock building mitigate price fluctuations?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126055, International Association of Agricultural Economists.
- Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with smooth transition in variances," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 43-57.
- Abdelkader Derbali & Slaheddine Hallara & Aida Sy, 2016.
"Athen's game of chicken or the conditional dependence between the Greek banks,"
Post-Print
hal-01696014, HAL.
- Abdelkader Derbali & Slaheddine Hallara & Aida Sy, 2016. "Athen's game of chicken or the conditional dependence between the Greek banks," International Journal of Economics and Accounting, Inderscience Enterprises Ltd, vol. 7(1), pages 1-26.
- Maria Kasch & Massimiliano Caporin, 2008.
"Volatility Threshold Dynamic Conditional Correlations: An International Analysis,"
"Marco Fanno" Working Papers
0065, Dipartimento di Scienze Economiche "Marco Fanno".
- Maria Kasch & Massimiliano Caporin, 2013. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 11(4), pages 706-742, September.
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019.
"Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model,"
CREATES Research Papers
2019-19, Department of Economics and Business Economics, Aarhus University.
- He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2021. "Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model," Energy Economics, Elsevier, vol. 97(C).
- Cagliesi, Gabriella & Guidi, Francesco, 2021. "A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
- Dzanic, Enis & Omerbegovic, Sead, 2014. "Impact Of Volatility And Performance Of Major Stock Markets On Sarajevo Stock Exchange In 2008 – 2012 Period," MPRA Paper 70016, University Library of Munich, Germany.
- Serra, Teresa, 2011.
"Volatility spillovers between food and energy markets: A semiparametric approach,"
Energy Economics, Elsevier, vol. 33(6), pages 1155-1164.
- Serra, Teresa, 2011. "Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 115997, European Association of Agricultural Economists.
- Bauwens, L. & Hafner C. & Laurent, S., 2011.
"Volatility Models,"
LIDAM Discussion Papers ISBA
2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Long, Xiangdong & Su, Liangjun & Ullah, Aman, 2011.
"Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 109-125.
- Xiangdong Long & Liangjun Su & Aman Ullah, 2011. "Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 109-125, January.
- Feng, Yuanhua, 2006. "A local dynamic conditional correlation model," MPRA Paper 1592, University Library of Munich, Germany.
- Idier, J., 2008.
"Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models,"
Working papers
218, Banque de France.
- Julien Idier, 2011. "Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models," The European Journal of Finance, Taylor & Francis Journals, vol. 17(1), pages 27-48.
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022.
"A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model,"
CREATES Research Papers
2022-01, Department of Economics and Business Economics, Aarhus University.
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model," Econometrics, MDPI, vol. 10(3), pages 1-41, August.
- Kosater, Peter, 2006. "Cross-city hedging with weather derivatives using bivariate DCC GARCH models," Discussion Papers in Econometrics and Statistics 2/06, University of Cologne, Institute of Econometrics and Statistics.
- Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008.
"Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations,"
Economics Discussion Paper Series
0805, Economics, The University of Manchester.
- Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Co-movements between US and UK stock prices: the roles of macroeconomic information and time-varying conditional correlations," Centre for Growth and Business Cycle Research Discussion Paper Series 96, Economics, The University of Manchester.
- De Santis, Roberto A. & Stein, Michael, 2014.
"Financial indicators signalling correlation changes in sovereign bond markets,"
Working Paper Series
1746, European Central Bank.
- De Santis, Roberto A. & Stein, Michael, 2015. "Financial indicators signaling correlation changes in sovereign bond markets," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 86-102.
- Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
- Nicolas Koch, 2014. "Dynamic linkages among carbon, energy and financial markets: a smooth transition approach," Applied Economics, Taylor & Francis Journals, vol. 46(7), pages 715-729, March.
- M.Fatih Oztek & Nadir Ocal, 2013. "Financial Crises, Financialization of Commodity Markets and Correlation of Agricultural Commodity Index with Precious Metal Index and S&P500," ERC Working Papers 1302, ERC - Economic Research Center, Middle East Technical University, revised Feb 2013.
- Dalkir, Mehmet, 2009. "Revisiting stock market index correlations," Finance Research Letters, Elsevier, vol. 6(1), pages 23-33, March.
- Gian Piero Aielli, 2011. "Dynamic Conditional Correlation: On properties and estimation," "Marco Fanno" Working Papers 0142, Dipartimento di Scienze Economiche "Marco Fanno".
- Abdelradi, Fadi & Serra, Teresa, 2015. "Food–energy nexus in Europe: Price volatility approach," Energy Economics, Elsevier, vol. 48(C), pages 157-167.
- De Santis, Roberto A. & Stein, Michael, 2016. "Correlation changes between the risk-free rate and sovereign yields of euro area countries," Working Paper Series 1979, European Central Bank.
- He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2024.
"Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model,"
Journal of Econometrics, Elsevier, vol. 239(1).
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019. "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," CREATES Research Papers 2019-18, Department of Economics and Business Economics, Aarhus University.
- Christos Savva & Nektarios Aslanidis, 2010.
"Stock market integration between new EU member states and the Euro-zone,"
Empirical Economics, Springer, vol. 39(2), pages 337-351, October.
- Aslanidis, Nektarios & Savva, Christos S., 2008. "Stock market integration between new EU member states and the Euro-zone," Working Papers 2072/13263, Universitat Rovira i Virgili, Department of Economics.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007.
"Multivariate GARCH models,"
SSE/EFI Working Paper Series in Economics and Finance
669, Stockholm School of Economics, revised 18 Jan 2008.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, Department of Economics and Business Economics, Aarhus University.
- Tomoaki Nakatani & Timo Terasvirta, 2009.
"Testing for volatility interactions in the Constant Conditional Correlation GARCH model,"
Econometrics Journal, Royal Economic Society, vol. 12(1), pages 147-163, March.
- Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," SSE/EFI Working Paper Series in Economics and Finance 649, Stockholm School of Economics, revised 04 May 2008.
- Chou, Ray Yeutien & Cai, Yijie, 2009. "Range-based multivariate volatility model with double smooth transition in conditional correlation," Global Finance Journal, Elsevier, vol. 20(2), pages 137-152.
- Takashi Isogai, 2015. "An Empirical Study of the Dynamic Correlation of Japanese Stock Returns," Bank of Japan Working Paper Series 15-E-7, Bank of Japan.
- Nektarios Aslanidis & Isabel Casas, 2010. "Modelling asset correlations during the recent FInancial crisis: A semiparametric approach," CREATES Research Papers 2010-71, Department of Economics and Business Economics, Aarhus University.
- Bonga-Bonga, Lumengo & Nleya, Lebogang, 2016.
"Assessing portfolio market risk in the BRICS economies: use of multivariate GARCH models,"
MPRA Paper
75809, University Library of Munich, Germany.
- BONGA-BONGA, Lumengo & NLEYA, Lebogang, 2018. "Assessing Portfolio Market Risk in the BRICS Economies: Use of Multivariate GARCH Models," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 71(2), pages 87-128.
- Philippe Charlot & Vêlayoudom Marimoutou, 2008. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model," Working Papers halshs-00285866, HAL.
- Nadine McCloud & Yongmiao Hong, 2011. "Testing The Structure Of Conditional Correlations In Multivariate Garch Models: A Generalized Cross‐Spectrum Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 991-1037, November.
- Van Dijk, Dick & Munandar, Haris & Hafner, Christian, 2011.
"The Euro-introduction and non-Euro currencies,"
LIDAM Reprints ISBA
2011052, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Dick van Dijk & Haris Munandar & Christian Hafner, 2011. "The euro introduction and noneuro currencies," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 95-116.
- Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers 05-044/4, Tinbergen Institute, revised 08 Jun 2006.
- Stein, Michael & Islami, Mevlud & Lindemann, Jens, 2012. "Identifying time variability in stock and interest rate dependence," Discussion Papers 24/2012, Deutsche Bundesbank.
- M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
- Cifarelli, Giulio & Paladino, Giovanna, 2020. "A non-linear analysis of the sovereign bank nexus in the EU," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
- Patricia Chelley‐Steeley & Neophytos Lambertides & Christos S. Savva, 2019. "Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity," European Financial Management, European Financial Management Association, vol. 25(1), pages 116-159, January.
- Hafner, C.M. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2005.
"Semi-Parametric Modelling of Correlation Dynamics,"
Econometric Institute Research Papers
EI 2005-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Christian M. Hafner & Dick van Dijk & Philip Hans Franses, 2006. "Semi-Parametric Modelling of Correlation Dynamics," Advances in Econometrics, in: Econometric Analysis of Financial and Economic Time Series, pages 59-103, Emerald Group Publishing Limited.
- Aslanidis, Nektarios & Osborn, Denise R. & Sensier, Marianne, 2008. "Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations," Working Papers 2072/8950, Universitat Rovira i Virgili, Department of Economics.
- Joseph, Nathan Lael & Lambertides, Neophytos & Savva, Christos S., 2015. "Short-horizon excess returns and exchange rate and interest rate effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 54-76.
- Aslanidis, Nektarios & Casas, Isabel, 2013. "Nonparametric correlation models for portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2268-2283.
- Cai, Yijie & Chou, Ray Yeutien & Li, Dan, 2009. "Explaining international stock correlations with CPI fluctuations and market volatility," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2026-2035, November.
- Aslanidis, Nektarios & Dungey, Mardi & Savva, Christos S., 2008. "Progress Towards to Equity Market Integration in Eastern Europe," Working Papers 2072/13265, Universitat Rovira i Virgili, Department of Economics.
- Eklund, Bruno & Terasvirta, Timo, 2007.
"Testing constancy of the error covariance matrix in vector models,"
Journal of Econometrics, Elsevier, vol. 140(2), pages 753-780, October.
- Eklund, Bruno & Teräsvirta, Timo, 2003. "Testing constancy of the error covariance matrix in vector models," SSE/EFI Working Paper Series in Economics and Finance 549, Stockholm School of Economics, revised 18 Jan 2006.
- Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2010. "Co-movements between US and UK stock prices: the role of time-varying conditional correlations," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 366-380.
- Nektarios Aslanidis & Christos S. Savva, 2011. "Are There Still Portfolio Diversification Benefits In Eastern Europe? Aggregate Versus Sectoral Stock Market Data," Manchester School, University of Manchester, vol. 79(6), pages 1323-1352, December.
- Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2015. "The effect of security and market order flow shocks on co-movement," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 136-155.
- Mehmet Fatih Öztek & Nadir Öcal, 2016. "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, vol. 50(2), pages 317-360, March.
- Xiangdong Long & Liangjun Su & Aman Ullah, 2009. "Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model Variables with Econometric Applications," Working Papers 200908, University of California at Riverside, Department of Economics, revised Jul 2009.
- Yang, Jian & Zhou, Yinggang & Wang, Zijun, 2009. "The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 670-680, April.
- Demetris Koursaros & Nektarios A. Michail & Christos S. Savva, 2016. "Bank Lending to the Private Sector and GDP Growth: Thresholds and Returns," Working Papers 2016-2, Central Bank of Cyprus.
Articles
- He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2024.
"Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model,"
Journal of Econometrics, Elsevier, vol. 239(1).
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019. "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," CREATES Research Papers 2019-18, Department of Economics and Business Economics, Aarhus University.
Cited by:
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019.
"Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model,"
CREATES Research Papers
2019-19, Department of Economics and Business Economics, Aarhus University.
- He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2021. "Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model," Energy Economics, Elsevier, vol. 97(C).
- Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2023.
"Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks,"
Econometrics, MDPI, vol. 11(1), pages 1-37, February.
Cited by:
- He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2024.
"Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model,"
Journal of Econometrics, Elsevier, vol. 239(1).
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019. "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," CREATES Research Papers 2019-18, Department of Economics and Business Economics, Aarhus University.
- He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2024.
"Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model,"
Journal of Econometrics, Elsevier, vol. 239(1).
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022.
"A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model,"
Econometrics, MDPI, vol. 10(3), pages 1-41, August.
See citations under working paper version above.
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model," CREATES Research Papers 2022-01, Department of Economics and Business Economics, Aarhus University.
- Hurn Stan & Johnson Nicholas & Silvennoinen Annastiina & Teräsvirta Timo, 2022.
"Transition from the Taylor rule to the zero lower bound,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(5), pages 635-647, December.
See citations under working paper version above.
- Stan Hurn & Nicholas Johnson & Annastiina Silvennoinen & Timo Teräsvirta, 2018. "Transition from the Taylor rule to the zero lower bound," CREATES Research Papers 2018-31, Department of Economics and Business Economics, Aarhus University.
- Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2019.
"Volatility-dependent correlations: further evidence of when, where and how,"
Empirical Economics, Springer, vol. 57(2), pages 505-540, August.
Cited by:
- L. Bauwens & E. Otranto, 2020.
"Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models,"
Working Paper CRENoS
202007, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Bauwens, Luc & Otranto, Edoardo, 2022. "Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models," LIDAM Reprints CORE 3202, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Edoardo Otranto, 2023. "Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1376-1401.
- Bauwens, Luc & Otranto, Edoardo, 2020. "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," LIDAM Discussion Papers CORE 2020034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gaoxiu Qiao & Yangli Cao & Feng Ma & Weiping Li, 2023. "Liquidity and realized covariance forecasting: a hybrid method with model uncertainty," Empirical Economics, Springer, vol. 64(1), pages 437-463, January.
- Bauwens, Luc & Otranto, Edoardo, 2020.
"Nonlinearities and regimes in conditional correlations with different dynamics,"
LIDAM Reprints CORE
3128, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Otranto, Edoardo, 2020. "Nonlinearities and regimes in conditional correlations with different dynamics," Journal of Econometrics, Elsevier, vol. 217(2), pages 496-522.
- L. Bauwens & E. Otranto, 2018. "Nonlinearities and Regimes in Conditional Correlations with Different Dynamics," Working Paper CRENoS 201803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- BAUWENS Luc, & OTRANTO Edoardo,, 2018. "Nonlinearities and regimes in conditional correlations with different dynamics," LIDAM Discussion Papers CORE 2018009, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Xi Zhang & Xu Wu & Linlin Zhang & Zhonglu Chen, 2022. "The Evaluation of Mean-Detrended Cross-Correlation Analysis Portfolio Strategy for Multiple risk Assets," Evaluation Review, , vol. 46(2), pages 138-164, April.
- L. Bauwens & E. Otranto, 2020.
"Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models,"
Working Paper CRENoS
202007, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017.
"Modelling and Forecasting WIG20 Daily Returns,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 173-200, September.
See citations under working paper version above.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," NIPE Working Papers 09/2017, NIPE - Universidade do Minho.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," CREATES Research Papers 2017-29, Department of Economics and Business Economics, Aarhus University.
- Silvennoinen Annastiina & Teräsvirta Timo, 2016.
"Testing constancy of unconditional variance in volatility models by misspecification and specification tests,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 347-364, September.
See citations under working paper version above.
- Annastiina Silvennoinen & Timo Teräsvirta, 2015. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," CREATES Research Papers 2015-47, Department of Economics and Business Economics, Aarhus University.
- Annastiina Silvennoinen & Timo Terasvirta, 2015. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," NCER Working Paper Series 108, National Centre for Econometric Research.
- Annastiina Silvennoinen & Susan Thorp, 2016.
"Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 522-544, June.
See citations under working paper version above.
- Annastiina Silvennoinen & Susan Thorp, 2015. "Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics," NCER Working Paper Series 109, National Centre for Econometric Research.
- A. Stan Hurn & Annastiina Silvennoinen & Timo Teräsvirta, 2016.
"A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 707-733, June.
See citations under working paper version above.
- A S Hurn & Annastiina Silvennoinen & Timo Terasvirta, 2014. "A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market," NCER Working Paper Series 100, National Centre for Econometric Research.
- A.S. Hurn & Annastiina Silvennoinen & Timo Teräsvirta, 2014. "A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market," CREATES Research Papers 2014-09, Department of Economics and Business Economics, Aarhus University.
- Annastiina Silvennoinen & Timo Ter�svirta, 2015.
"Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 174-197, February.
See citations under working paper version above.
- Annastiina Silvennoinen & Timo Teräsvirta, 2012. "Modelling conditional correlations of asset returns: A smooth transition approach," CREATES Research Papers 2012-09, Department of Economics and Business Economics, Aarhus University.
- Clements, A. & Silvennoinen, A., 2013.
"Volatility timing: How best to forecast portfolio exposures,"
Journal of Empirical Finance, Elsevier, vol. 24(C), pages 108-115.
Cited by:
- Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
- Jin, Xin & Maheu, John M., 2016.
"Modeling covariance breakdowns in multivariate GARCH,"
Journal of Econometrics, Elsevier, vol. 194(1), pages 1-23.
- Xin Jin & John M. Maheu, 2014. "Modeling Covariance Breakdowns in Multivariate GARCH," Working Paper series 36_14, Rimini Centre for Economic Analysis.
- Jin, Xin & Maheu, John M, 2014. "Modeling Covariance Breakdowns in Multivariate GARCH," MPRA Paper 55243, University Library of Munich, Germany.
- Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Rehman, Mobeen Ur & Salman, Aneel, 2019. "Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models," Resources Policy, Elsevier, vol. 61(C), pages 210-230.
- Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael, 2018. "Portfolio management with targeted constant market volatility," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 134-147.
- Qi Xu & Ying Wang, 2021. "Managing volatility in commodity momentum," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 758-782, May.
- Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2019. "Volatility-dependent correlations: further evidence of when, where and how," Empirical Economics, Springer, vol. 57(2), pages 505-540, August.
- Ardia, David & Boudt, Kris & Wauters, Marjan, 2016. "The economic benefits of market timing the style allocation of characteristic-based portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 38-62.
- Silvennoinen, Annastiina & Thorp, Susan, 2013.
"Financialization, crisis and commodity correlation dynamics,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 42-65.
See citations under working paper version above.
- Annastiina Silvennoinen & Susan Thorp, 2010. "Financialization, Crisis and Commodity Correlation Dynamics," Research Paper Series 267, Quantitative Finance Research Centre, University of Technology, Sydney.
- Annastiina Silvennoinen & Timo Teräsvirta, 2009.
"Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model,"
Journal of Financial Econometrics, Oxford University Press, vol. 7(4), pages 373-411, Fall.
See citations under working paper version above.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers 2008-05, Department of Economics and Business Economics, Aarhus University.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
- Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008.
"Parameterizing Unconditional Skewness in Models for Financial Time Series,"
Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 208-230, Spring.
See citations under working paper version above.
- Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Research Paper Series 169, Quantitative Finance Research Centre, University of Technology, Sydney.
- Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing unconditional skewness in models for financial time series," CREATES Research Papers 2008-07, Department of Economics and Business Economics, Aarhus University.