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Dynamic spillovers among major energy and cereal commodity prices

Mensi, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong; … - In: Energy economics 43 (2014), pp. 225-243

Persistent link: https://www.econbiz.de/10010504821

Impact of speculation and economic uncertainty on commodity markets

Andreasson, Pierre; Bekiros, Stelios; Nguyen, Duc Khuong; … - In: International review of financial analysis 43 (2016), pp. 115-127

Persistent link: https://www.econbiz.de/10011623721

Modeling and forecasting commodity market volatility with long-term economic and financial variables

Nguyen, Duc Khuong; Walther, Thomas - 2018

Persistent link: https://www.econbiz.de/10011946687

Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables

Nguyen, Duc Khuong - 2020

This paper investigates the time-varying volatility patterns of some major commodities as well as the potential factors that drive their long-term volatility component. For this purpose, we make use of a recently proposed GARCH-MIDAS approach which typically allows us to examine the role of...

Persistent link: https://www.econbiz.de/10012850733

Dependence of stock and commodity futures markets in China : implications for portfolio investment

Hammoudeh, Shawkat; Nguyen, Duc Khuong; Reboredo, Juan … - In: Emerging markets review 21 (2014), pp. 183-200

Persistent link: https://www.econbiz.de/10011304331

Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models

Arouri, Mohamed; Lahiani, Amine; Lévy, Aldo; Nguyen, … - In: Energy economics 34 (2012) 1, pp. 283-293

Persistent link: https://www.econbiz.de/10009618848

Understanding return and volatility spillovers among major agricultural commodities

Lahiani, Amine; Nguyen, Duc Khuong; Vo, Thierry - In: The journal of applied business research 29 (2013) 6, pp. 1781-1790

Persistent link: https://www.econbiz.de/10010229476

Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory

Chkili, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong - In: Energy economics 41 (2014), pp. 1-18

Persistent link: https://www.econbiz.de/10010374635

Testing for asymmetric causality between U.S. equity returns and commodity futures returns

Nguyen, Duc Khuong; Sousa, Ricardo M.; Uddin, Mohammed … - In: Finance research letters 12 (2015), pp. 38-47

Persistent link: https://www.econbiz.de/10011552233

Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management

Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - In: Energy economics 42 (2014), pp. 332-342

Persistent link: https://www.econbiz.de/10010503584