Showing 1 - 5 of 5
This study examines the risk spillovers between energy futures prices and Europe-based carbon futures contracts. We use a Markov regime-switching dynamic correlation, generalized autoregressive conditional heteroscedasticity (MSDCC- GARCH) model in order to capture the time variations and...
Persistent link: https://www.econbiz.de/10010891082
The paper employs an event study methodology to investigate the macroeconomic announcements effects on S&P500 and oil prices. Our results provide evidence of a significant impact of the US macroeconomic news on oil prices. This impact is split into two components, namely the direct effect...
Persistent link: https://www.econbiz.de/10010754757
Over the past decade, the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them. This article deals with the dynamic return and volatility spillovers...
Persistent link: https://www.econbiz.de/10010754812
We provide comprehensive evidence of return and volatility spillovers for the four major agricultural commodi- ties including sugar, wheat, corn and cotton over the recent period 2003-2010. Our results from the recent VAR- GARCH model of Ling and McAleer (2003) that allows for simultaneous shock...
Persistent link: https://www.econbiz.de/10010764019
Frontier markets are increasingly sought by investors in search of higher returns and low correlation with traditional assets. As such, it is important for financial market participants to understand the volatility transmission mechanism across these markets in order to make better portfolio...
Persistent link: https://www.econbiz.de/10011161636