This article provides the first empirical application of the dynamic equicorrelation (DECO) model to a cross-market data set composed of equities, bonds, foreign exchange and commodity returns during 1983--2013. The results reveal that the average cross-market equicorrelation is around 47%,...

We examine the empirical validity of the Fed model and the Graham & Dodd model for five countries and over a time period spanning three decades by applying the Enders and Granger (1998) and Enders and Siklos (2001) threshold unit-root and cointegration tests. Our results support the hypothesis...

This article investigates momentum strategies in commodity markets. Using a Markov-switching model and formal tests for the number of regimes in the data, we identify momentum trends for a variety of commodities, exchange rates, interest rates and equities. The data cover the period 1995--2012...

This article assesses the cross-market linkages between commodities, stocks and bonds in a cointegration framework during 1993--2011.

This article investigates volatility spillovers in commodity markets by following the methodology pioneered in Diebold and Yilmaz (2012). By using a broad data set during 1995--2012, we address three key research questions: are there volatility spillovers within commodities? between standard...

The aim of this research was to examine the structural changes of European carbon futures price under the European Union Emissions Trading Scheme during 2005-2012. More specifically, by relying on the daily EU allowance futures contract, we investigate the structural changes of the European...