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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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The impact of sentiment on commodity return and volatility
Maghyereh, Aktham I.; Abdoh, Hussein; Al-Shboul, Mohammad - In: Review of Pacific Basin financial markets and policies 23 (2020) 4, pp. 2050034-1-2050034-34
Persistent link: https://www.econbiz.de/10012496992
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Co-movements in commodity prices : global, sectoral and commodity-specific factors
Yin, Libo; Han, Liyan - In: Economics letters 126 (2015), pp. 96-100
Persistent link: https://www.econbiz.de/10011376427
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Oil commodity returns and macroeconomic factors : a time-varying approach
Schalck, Christophe; Chenavaz, Régis - In: Research in international business and finance 33 (2015), pp. 290-303
Persistent link: https://www.econbiz.de/10011325859
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Volatility persistence in metal returns : a FIGARCH approach
Cochran, Steven J.; Mansur, Iqbal; Odusami, Babatunde … - In: Journal of economics & business 64 (2012) 4, pp. 287-305
Persistent link: https://www.econbiz.de/10009618499
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Understanding momentum in commodity markets
Chevallier, Julien; Gatumel, Mathieu; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1383-1402
Persistent link: https://www.econbiz.de/10010203400
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Time-variations in commodity price jumps
Diewald, Laszlo; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of empirical finance 31 (2015), pp. 72-84
Persistent link: https://www.econbiz.de/10011489343
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Nexus between returns in commodity market and equity market : a case of Indian steel industry
Memdani, Laila Amir; Kandukuri, Rajya Lakshmi - In: Acta Universitatis Danubius / Oeconomica 10 (2014) 3, pp. 59-72
Persistent link: https://www.econbiz.de/10010401295
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Commodity volatility breaks
Vivian, Andrew; Wohar, Mark E. - In: Journal of international financial markets, … 22 (2012) 2, pp. 395-422
Persistent link: https://www.econbiz.de/10009581694
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The Asymmetric Return - Volatility Relationship of Commodity Price Changes
Baur, Dirk G. - 2019
There is a well documented asymmetric return - volatility effect of equity returns, that is, negative shocks increase … volatility by more than positive shocks. This paper analyzes the return - volatility relationship of commodity price changes and … whilst negative price changes provide negative signals and increase volatility …
Persistent link: https://www.econbiz.de/10012891007