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Modelling market indices, commodity market prices and stock prices of energy sector using VAR with variance decomposition model
Meher, Bharat Kumar; Hawaldar, Iqbal Thonse; Kumar, Santosh - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 4, pp. 122-130
Persistent link: https://www.econbiz.de/10013366034
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A model of financialization of commodities
Başak, Suleyman; Pavlova, Anna - 2015
Persistent link: https://www.econbiz.de/10011299571
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What drives the commodity price beta of oil industry stocks?
Talbot, Edward; Artiach, Tracy; Faff, Robert W. - In: Energy economics 37 (2013), pp. 1-15
Persistent link: https://www.econbiz.de/10009759405
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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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On Commodity Price Limits
Janardanan, Rajkumar - 2019
commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of … temporary volatility induced by the trading of non-commercial market participants (speculators). We find little evidence that …
Persistent link: https://www.econbiz.de/10012900566
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A Model of Financialization of Commodities
Basak, Suleyman - 2015
A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets, referred to as the financialization of commodities. In this paper, we explore the effects of financialization in a model that...
Persistent link: https://www.econbiz.de/10013036073
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Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets
Dhaene, Geert; Sercu, Piet; Wu, Jianbin - In: The journal of futures markets 42 (2022) 5, pp. 868-887
Persistent link: https://www.econbiz.de/10013187611
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Bad volatility is not always bad : evidence from the commodity markets
Indriawan, Ivan; Lien, Da-hsiang Donald; Roh, Tai-Yong; … - In: Applied economics 52 (2020) 40, pp. 4384-4402
Persistent link: https://www.econbiz.de/10012259062
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A model of financialization of commodities
Başak, Suleyman; Pavlova, Anna - In: The journal of finance : the journal of the American … 71 (2016) 4, pp. 1511-1555
Persistent link: https://www.econbiz.de/10011588922
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Commodity markets volatility transmission : roles of risk perceptions and uncertainty in financial markets
Gozgor, Giray; Lau, Chi Keung; Bilgin, Mehmet Huseyin - In: Journal of international financial markets, … 44 (2016), pp. 35-45
Persistent link: https://www.econbiz.de/10011690371