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Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications
Guhathakurta, Kousik; Dash, Saumya Ranjan; Maitra, Debasish - In: Energy economics 85 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012510102
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Dynamics of volatility spillovers with structural breaks in Indian foreign exchange market
Kashyap, Suresh; Kashyap, Sachin - In: International journal of business innovation and … 22 (2020) 4, pp. 488-505
Persistent link: https://www.econbiz.de/10012270943
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Structural breaks and volatility spillovers : the case of the US and Canadian Stock Markets
Tsuji, Chikashi - In: Journal of management research 11 (2019) 2, pp. 30-44
Persistent link: https://www.econbiz.de/10011993943
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Financialization in commodity markets : a passing trend or the new normal?
Adams, Zeno; Glück, Thorsten - In: Journal of banking & finance 60 (2015), pp. 93-111
Persistent link: https://www.econbiz.de/10011544903
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Dynamic volatility spillovers between agricultural and energy commodities
Xiarchos, Irene M.; Burnett, J. Wesley - In: Journal of agricultural and applied economics : JAEE 50 (2018) 3, pp. 291-318
Persistent link: https://www.econbiz.de/10012039825
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The interplay between oil and food commodity prices : has it changed over time?
Peersman, Gert; Rüth, Sebastian; Van der Veken, Wouter - 2019
Persistent link: https://www.econbiz.de/10012131752
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Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda
Katusiime, Lorna - In: Economies : open access journal 7 (2019) 1/1, pp. 1-17
This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically …, the study investigates the spillover effects between oil and food price volatility and the volatility of a key …/USD) exchange rate. Volatility spillover is examined using the Generalized Vector Autoregressive (GVAR) approach and Multivariate …
Persistent link: https://www.econbiz.de/10012021528
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The interplay between oil and food commodity prices : has it changed over time?
Peersman, Gert; Rüth, Sebastian; Van der Veken, Wouter - 2019
Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply - resulting from bad...
Persistent link: https://www.econbiz.de/10012064355
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The interplay between oil and food commodity prices : has it changed over time?
Peersman, Gert; Rüth, Sebastian; Van der Veken, Wouter - 2019
Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply - resulting from bad...
Persistent link: https://www.econbiz.de/10012098873
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Dynamic spillovers among major energy and cereal commodity prices
Mensi, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong; … - In: Energy economics 43 (2014), pp. 225-243
Persistent link: https://www.econbiz.de/10010504821