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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
This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework's results show that the connectedness is 23.49%, indicating a low level...
Persistent link: https://www.econbiz.de/10012305145
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An analysis of diversification benefits of commodity futures using Markov regime-switching approach
Jaiswal, Ritika; Uchil, Rashmi - In: Afro-Asian Journal of Finance and Accounting : AAJFA 8 (2018) 1, pp. 20-47
Persistent link: https://www.econbiz.de/10011933965
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Diversification benefits in energy, metal and agricultural commodities for Islamic investors : evidence from multivariate GARCH approach
Buerhan Saiti; Dahiru, Abdulnasir; Yumusak, Ibrahim Guran - In: Quantitative finance and economics 2 (2018) 3, pp. 733-756
Persistent link: https://www.econbiz.de/10012156848
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Liquidity commonality in commodities
Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat - In: Journal of banking & finance 37 (2013) 1, pp. 11-20
Persistent link: https://www.econbiz.de/10009675559
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Diversification return, portfolio rebalancing, and the commodity return puzzle
Willenbrock, Scott - In: Financial analysts' journal : FAJ 67 (2011) 4, pp. 42-49
Persistent link: https://www.econbiz.de/10009272133
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Is There a Possibility of Diversification Between Commodities and Ibovespa? Analysis of Volatility Transmission (2000‒2016)
Vartanian, Pedro - 2019
commodity prices and the Ibovespa, through a multivariate GARCH model, to verify the possibility of diversification of … 2008 crisis, which suggests that concomitant investments in commodities and the Ibovespa constitute a risk diversification …
Persistent link: https://www.econbiz.de/10012896731
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Diversification and Financialization in Commodity Markets : Evidence from Commodity Trading Advisors
Chen, Yong - 2019
stocks, implying declined diversification benefits with increased capital in commodity markets. Exploiting exogenous shocks … commodity-stock return comovement. Overall, our findings highlight the link between dynamics of diversification benefits and …
Persistent link: https://www.econbiz.de/10012897343
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Maximum Diversification Strategies Along Commodity Risk Factors
Bernardi, Simone - 2018
to provide convincing results. DRP strives for maximum diversification along uncorrelated risk sources. A straightforward …
Persistent link: https://www.econbiz.de/10012938440
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Measuring the Performance of Commodity Futures as a Risk Management Tool and Diversification Strategy of Hedge Funds Portfolio
Guirguis, Michel - 2021
This article aims at measuring the performance of commodity futures as a risk management tool and diversification … futures offer better diversification strategy and display positive performance figures …
Persistent link: https://www.econbiz.de/10013232475
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A study of first generation commodity indices : indices based on financial diversification
Ahn, Jung-Hyun; Six, Pierre - In: Finance research letters 30 (2019), pp. 194-200
Persistent link: https://www.econbiz.de/10012420486