Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

By Shawkat Hammoudeh, Yuan Yuan, Mark A. Thompson, Michael Mcaleer. 2009

208 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0df353afb3a2e3984554325bd98909a94bd3833b

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Citations in the corpus

The Financial Economics of Gold – A Survey (2015, unknown): “Hammoudeh et al. (2010) find that monetary shocks have long run effects on both gold and silver volatility but with a much shorter dataset (1999-2007).”
World gold prices and stock returns in China: Insights for hedging and diversification strategies (2015, unknown): “Hammoudeh et al. (2010) document, from a multivariate VARMA-GARCH model, weak volatility spillovers across precious metals, but strong sensitivity of metal volatility to exchange rate variability.”
Forecasting precious metal returns with multivariate random forests (2018, unknown): “Hammoudeh et al. (2010) estimate various multivariate GARCH models to study the interdependencies between gold, silver, platinum, and palladium in terms of their conditional volatilities and correlations.”
Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, methodology): “For example, MGARCH models have been used to measure optimal weights and hedging ratios between commodity and other financial markets (e.g. Hammoudeh et al., 2010, 2014; Arouri et al., 2011, 2012, 2015; Mensi et al., 2013; Silvennoinen and Thorp, 2013; Thuraisamy et al., 2013; Sadorsky, 2014;…”
Dynamic correlation of precious metals and flight-to-quality in developed markets (2017, background): “The phenomenon of increasing demand for Gold in crash-like environments is termed flight-to-quality ( Hammoudeh et al., 2010 ).”
Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory (2014, unknown): “Hammoudeh et al. (2010) examine the conditional volatility, and correlation dependency and interdependency for the four major precious metals (gold, silver, platinum and palladium), while accounting 1 By increasing financialization of commodity markets, we refer to a situation in which commodity…”
Dynamic spillovers between commodity and currency markets (2015, unknown): “They have been considered in other studies, such as Batten et al. (2010), Hammoudeh et al. (2010, 2011), inter alia.”
Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012, unknown): “…and spillovers based on various extensions of GARCH models (Tully and Lucey, 2007; Hammoudeh and Yuan, 2008; Watkins and McAleer, 2008; Hammoudeh, Yuan and McAleer, 2010), they generally have a major drawback by assuming a stable structure of parameters in the metal volatility process 1 .”