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Clarifying the response of gold return to financial indicators : an empirical comparative analysis using ordinary least squares, robust and quantile regressions
Miyazaki, Takashi - In: Journal of risk and financial management : JRFM 12 (2019) 1/33, pp. 1-18
returns fall sharply; (2) it rises as the stock market volatility increases; (3) it also rises when general financial market …
Persistent link: https://www.econbiz.de/10012022330
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Volatility integration in spot, futures and options markets : a regulatory perspective
Rastogi, Shailesh; Athaley, Chaitaly - In: Journal of risk and financial management : JRFM 12 (2019) 2/98, pp. 1-15
The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of … the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the …
Persistent link: https://www.econbiz.de/10012022005
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Does Bitcoin hedge commodity uncertainty?
Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14
. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total … transmitter to the wheat volatility, while being the spillover receiver from the oil and corn volatilities. The findings suggest …
Persistent link: https://www.econbiz.de/10012305145
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Volatility spillovers arising from the financialization of commodities
Chan, Wing Hong; Shelton, Bryce; Wu, Yan Wendy - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-12
(ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility … an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on … volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets …
Persistent link: https://www.econbiz.de/10011961264
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Financial time series: methods and models
Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3
The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...
Persistent link: https://www.econbiz.de/10012304649
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Forecast combinations for structural breaks in volatility : evidence from BRICS countries
De Gaetano, Davide - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-13
The aim of this paper is to investigate the relevance of structural breaks for forecasting the volatility of daily … evident. In forecasting volatility, the combination that averages forecasts obtained using different rolling estimation …
Persistent link: https://www.econbiz.de/10011961363
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A reappraisal of the Prebisch-Singer hypothesis using wavelets analysis
Fahmy, Hany - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-17
The Prebisch-Singer (PS) hypothesis, which postulates the presence of a downward secular trend in the price of primary commodities relative to manufacturers, remains at the core of a continuing debate among international trade economists. The reason is that the results of testing the PS...
Persistent link: https://www.econbiz.de/10012626091
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A time series analysis of judicial foreclosures in Spain
González-Val, Rafael - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-22
There was an unprecedented wave of foreclosures and evictions in Spain after the 2008 global financial crisis. The subsequent Great Recession had strong economic, social and environmental consequences. This paper explores the frequency of permanent shocks in foreclosure quarterly rates (defined...
Persistent link: https://www.econbiz.de/10013471156
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Forecasting commodity prices using the term structure
Idilbi-Bayaa, Yasmeen; Qadan, Mahmoud - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-39
The aim of this study is to test the ability of the yield curve on US government bonds to forecast the future evolution in the prices of commodities often used in as raw materials. We consider the monthly prices of nine commodities for more than 30 years. Our findings, confirmed by several...
Persistent link: https://www.econbiz.de/10012798924
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Investigating the impact of trade disruptions on price transmission in commodity markets : an application of threshold cointegration
Mann, Janelle; Brewin, Derek - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-7
Threshold cointegration is introduced as an econometric technique to model the impact of trade disruptions on spatial price transmission in commodity markets so that market participants and policy makers can understand the global impact of trade disruptions on prices. The threshold cointegration...
Persistent link: https://www.econbiz.de/10012628574