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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
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Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA
Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017
Persistent link: https://www.econbiz.de/10011965722
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Modelling long memory volatility in agricultural commodity futures returns
Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003909568
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987324
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Conditional correlations and volatility spillovers between crude oil and stock index returns
Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987330
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Analyzing and forecasting volatility spillovers and asymmetries in major crude oil spot, forward and futures markets
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2010
Persistent link: https://www.econbiz.de/10003987336
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Exchange rate and industrial commodity volatility transmissions, asymmetries and hedging strategies
Hammoudeh, Shawkat M.; Yuan, Yuan; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003987666
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Modelling conditional correlations for risk diversification in crude oil markets
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2009
Persistent link: https://www.econbiz.de/10003877105
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Forecasting volatility and spillovers in crude oil spot, forward and futures markets
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2009
Persistent link: https://www.econbiz.de/10003877109
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Modelling long memory volatility in agricultural commodity futures returns
Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - 2012 - Rev.
Persistent link: https://www.econbiz.de/10009619551