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Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model
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- Das, Debojyoti & Bhatia, Vaneet & Kumar, Surya Bhushan & Basu, Sankarshan, 2022. "Do precious metals hedge crude oil volatility jumps?," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Adesina, Oluwaseun A. & Alobaloke, Kafayat A. & Vo, Xuan Vinh, 2022.
"Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses,"
Resources Policy, Elsevier, vol. 79(C).
- Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Adesina, Ayobami O. & Alobaloke, Kafayat & Vo, Xuan Vinh, 2022. "Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses," MPRA Paper 114689, University Library of Munich, Germany.
- Cui, Moyang & Wong, Wing-Keung & Wisetsri, Worakamol & Mabrouk, Fatma & Muda, Iskandar & Li, Zeyun & Hassan, Marria, 2023. "Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data," Resources Policy, Elsevier, vol. 80(C).
- Bartosz Łamasz & Natalia Iwaszczuk, 2020. "The Impact of Implied Volatility Fluctuations on Vertical Spread Option Strategies: The Case of WTI Crude Oil Market," Energies, MDPI, vol. 13(20), pages 1-23, October.
- Cunado, Juncal & Chatziantoniou, Ioannis & Gabauer, David & de Gracia, Fernando Perez & Hardik, Marfatia, 2023. "Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures," Journal of Commodity Markets, Elsevier, vol. 30(C).
- Zhang, Zitao & Qin, Yun, 2022. "Study on the nonlinear interactions among the international oil price, the RMB exchange rate and China's gold price," Resources Policy, Elsevier, vol. 77(C).
- Raza, Syed Ali & Masood, Amna & Benkraiem, Ramzi & Urom, Christian, 2023.
"Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach,"
Energy Economics, Elsevier, vol. 120(C).
- Syed Ali Raza & Amna Masood & Ramzi Benkraiem & Christian Urom, 2023. "Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach," Post-Print hal-04080872, HAL.
- Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2021. "The day-of-the-week-effect on the volatility of commodities," Resources Policy, Elsevier, vol. 71(C).
- Bouteska, Ahmed & Ha, Le Thanh & Bhuiyan, Faruk & Sharif, Taimur & Abedin, Mohammad Zoynul, 2024. "Contagion between investor sentiment and green bonds in China during the global uncertainties," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 469-484.
- Jie Cheng, 2023. "Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies," Empirical Economics, Springer, vol. 65(2), pages 899-924, August.
- Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
- Dark, Jonathan, 2024. "An adaptive long memory conditional correlation model," Journal of Empirical Finance, Elsevier, vol. 75(C).
- Radosław Puka & Bartosz Łamasz & Marek Michalski, 2021. "Effectiveness of Artificial Neural Networks in Hedging against WTI Crude Oil Price Risk," Energies, MDPI, vol. 14(11), pages 1-26, June.
- Johnson A. Oliyide & Oluwasegun B. Adekoya & Muhammad A. Khan, 2021.
"Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension,"
International Economics, CEPII research center, issue 167, pages 136-150.
- Oliyide, Johnson A. & Adekoya, Oluwasegun B. & Khan, Muhammad A., 2021. "Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension," International Economics, Elsevier, vol. 167(C), pages 136-150.
- Pattnaik, Debidutta & Hassan, M. Kabir & DSouza, Arun & Ashraf, Ali, 2023. "Investment in gold: A bibliometric review and agenda for future research," Research in International Business and Finance, Elsevier, vol. 64(C).
- Rasool Dehghanzadeh Shahabad & Mehmet Balcilar, 2022. "Modelling the Dynamic Interaction between Economic Policy Uncertainty and Commodity Prices in India: The Dynamic Autoregressive Distributed Lag Approach," Mathematics, MDPI, vol. 10(10), pages 1-21, May.
- Wang, Xinya & Lucey, Brian & Huang, Shupei, 2022. "Can gold hedge against oil price movements: Evidence from GARCH-EVT wavelet modeling," Journal of Commodity Markets, Elsevier, vol. 27(C).
- Petra Tomanová & Vladimír Holý, 2021. "Clustering of arrivals in queueing systems: autoregressive conditional duration approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(3), pages 859-874, September.
- Mokni, Khaled & Hammoudeh, Shawkat & Ajmi, Ahdi Noomen & Youssef, Manel, 2020. "Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?," Resources Policy, Elsevier, vol. 69(C).
- Cheng, Sheng & Deng, MingJie & Liang, Ruibin & Cao, Yan, 2023. "Asymmetric volatility spillover among global oil, gold, and Chinese sectors in the presence of major emergencies," Resources Policy, Elsevier, vol. 82(C).
- Salisu, Afees A. & Vo, Xuan Vinh & Lawal, Adedoyin, 2021. "Hedging oil price risk with gold during COVID-19 pandemic," Resources Policy, Elsevier, vol. 70(C).
- Zeng, Sheng & Liu, Xinchun & Li, Xiafei & Wei, Qi & Shang, Yue, 2019. "Information dominance among hedging assets: Evidence from return and volatility directional spillovers in time and frequency domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
- Chen, Rongda & Bao, Weiwei & Jin, Chenglu, 2021. "Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 112-129.
- Li, Wei & Zhang, Junchao & Cao, Xiangye & Han, Wei, 2024. "Is the prediction of precious metal market volatility influenced by internet searches regarding uncertainty?," Finance Research Letters, Elsevier, vol. 62(PB).
- Ivanovski, Kris & Hailemariam, Abebe, 2023. "Forecasting the stock-cryptocurrency relationship: Evidence from a dynamic GAS model," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 97-111.
- Xu, Yingying, 2021. "Risk spillover from energy market uncertainties to the Chinese carbon market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
- Maciej Mróz, 2022. "The Impact of Energy Commodity Prices on Selected Clean Energy Metal Prices," Energies, MDPI, vol. 15(9), pages 1-15, April.
- Owusu Junior, Peterson & Tiwari, Aviral Kumar & Tweneboah, George & Asafo-Adjei, Emmanuel, 2022. "GAS and GARCH based value-at-risk modeling of precious metals," Resources Policy, Elsevier, vol. 75(C).
- Shang, Yue & Wei, Yu & Chen, Yongfei, 2022. "Cryptocurrency policy uncertainty and gold return forecasting: A dynamic Occam's window approach," Finance Research Letters, Elsevier, vol. 50(C).
- Xu, Yingying & Lien, Donald, 2020. "Dynamic exchange rate dependences: The effect of the U.S.-China trade war," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 68(C).
- Liu, Fang & Umair, Muhammad & Gao, Junjun, 2023. "Assessing oil price volatility co-movement with stock market volatility through quantile regression approach," Resources Policy, Elsevier, vol. 81(C).
- Hung, Ngo Thai & Vo, Xuan Vinh, 2021. "Directional spillover effects and time-frequency nexus between oil, gold and stock markets: Evidence from pre and during COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 76(C).
- Seyram Pearl Kumah & Jones Odei Mensah, 2022. "Are cryptocurrencies connected to gold? A wavelet‐based quantile‐in‐quantile approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3640-3659, July.
- Yingying Xu & Donald Lien, 2020. "Optimal futures hedging for energy commodities: An application of the GAS model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1090-1108, July.
- Ivanovski, Kris & Hailemariam, Abebe, 2021. "Forecasting the dynamic relationship between crude oil and stock prices since the 19th century," Journal of Commodity Markets, Elsevier, vol. 24(C).