Commodity volatility breaks

By Andrew Vivian, M. Wohar. 2012

226 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2a65842c575bfb0f023a596a3b3836b76f304f29

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Volatility Spillovers Across Petroleum Markets (2015, background): “These ﬁndings are in line with petroleum’s increasing ﬁnancialization after 2001 as shown in Fratzscher et al. (2013) and the expanding ﬁn ancialization of commodities in general (Mensi et al., 2013; Creti et al., 2013; Dwyer et al., 2011; Vivian and Wohar, 2012).”
Dynamic spillovers among major energy and cereal commodity prices (2014, background): “Vivian and Wohar (2012) examine whether there are structural breaks in the commodity spot return volatility.”
Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, methodology): “Recently, Vivian and Wohar (2012) investigated the existence of structural breaks in commodity spot return volatility using an iterative cumulative sum of squares procedure and a GARCH model of a broad cross-section of 28 different commodities from January 1985 to July 2010.”
On the links between stock and commodity markets' volatility (2013, background): “…references include Büyükşahin and Harris (2011), Büyükşahin et al. (2008), Capelle-Blancard and Coulibaly (2011), Du et al. (2011), Eckaus (2008), Irwin and Sanders (2012), Khan (2009), Manera et al. (2012), Masters and White (2009), Stout (2011), Valiante (2011), and Vivian and Wohar (2012).”
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆ (2015, unknown): “Erb and Harvey, 2006; Domanski and Heath, 2007; Dwyer et al., 2011; Silvennoinen and Thorp, 2013; Tang and Xiong, 2012; Vivian and Wohar, 2012).”
Oil, Gold, US dollar and Stock market interdependencies: A global analytical insight (2017, background): “…process of commodity markets, oil price, gold price, US dollar, and stock prices have acquired further diversification properties and have become sharing similar statistical properties as well as other common characteristics (Ciner, 2001; Vivian and Wohar, 2012; Chkili et al., 2014).”
Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, background): “Thepresence of spillovers deepens theneed for investors, portfolio and risk managers, manufacturers, and policymakers to better understand the dynamics of commodity futures prices (Vivian and Wohar, 2012; Sensoy, 2013).”
Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory (2014, background): “Several papers have recently addressed the issue of thefinancialization of commoditymarkets and its impact on volatility behavior and transmission (Creti et al., 2013;Domanski andHeath, 2007; Dwyer et al., 2011; Silvennoinen and Thorp, 2013; Vivian and Wohar, 2012).”
Global financial crisis and spillover effects among the U.S. and BRICS stock markets (2016, methodology): “Fewer studies have used the adjusted IT test including Arouri et al. (2012) and Charles and Darné (2014), Ewing and Malik (2010) and Vivian and Wohar (2012), among others.”
Tests for explosive financial bubbles in the presence of non-stationary volatility☆ (2016, background): “For commodity returns, both CalvoGonzalez et al. (2010) and Vivian and Wohar (2012) find statistically significant evidence of structural breaks in unconditional volatility.”
The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, background): “evidence is cited to support the assertion that speculators have had a significant effect on commodity prices since the early 2000s, although whether speculators have had a material impact on the properties of commodity time series is disputed (Valiant, 2011; Hamilton and Wu, 2012; Vivian and Wohar,”