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Persistent link: https://www.econbiz.de/10009760820

Oil and non-energy commodity markets : an empirical analysis of volatility spillovers and hedging effectiveness

Dutta, Anupam; Noor, Md Hasib - In: Cogent economics & finance 5 (2017) 1, pp. 1-15

Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets. The present study aims to conceal this gap by investigating the volatility cross effects...

Persistent link: https://www.econbiz.de/10011881040

Volatility spill-overs in commodity spot prices : new empirical results

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Short- and long-run determinants of commodity price volatility

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Energy portfolio risk management using time-varying extreme value copula methods

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