Volatility transmission between gold and oil futures under structural breaks

By Bradley T. Ewing, Farooq Malik. 2013

288 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/48432d5420a823a7a43ba3ee1a776316196edb65

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Citations in the corpus

Oil, Gold, US dollar and Stock market interdependencies: A global analytical insight (2017, background): “1 Oil price vs US dollar exchange rate The relation between oil price and exchange rates was initially documented by Golub (1983) and Krugman (1983) who put forth compelling arguments as to why the movements in oil price should affect exchange rates. Golub reasons that since oil price is denominated”
The effects of uncertainty measures on the price of gold (2018, background): “Ewing and Malik (2013) find evidence of significant transmissions of volatility between gold and oil returns. Their findings also support the idea of the cross-market hedging and sharing of the common information by financial market participants. Barunik et al. (2016) analyze dynamic correlations be”
Persistence of precious metal prices: A fractional integration approach with structural breaks (2014, methodology): “Ewing and Malik (2013) used the GARCH model and found evidence of persistence in the volatility of gold with and without structural breaks.”
The Interactions among Gold, Oil, and Stock Market: Evidence from S&P500 (2015, background): “Thus, it is essential to learn about gold price volatility, for derivative valuation, hedging decisions, financial markets and the overall economy (Ewing and Malik, 2013).”
Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility (2018, methodology): “These findings are very similar to the results reported by Aggarwal, Inclan, and Leal (1999), Kang, Cheong, and Yoon (2011) and Ewing and Malik (2013), who argue that a univariate GARCH model overestimates the volatility persistence if it neglects the structural breaks in volatility.”
Gold, Oil, and Stocks: Dynamic Correlations (2016, unknown): “Our results also indirectly support findings of Ewing and Malik (2013) pointing at the idea of cross-market hedging and sharing of common information by financial market participants trading gold and oil futures.”
Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, methodology): “Ewing and Malik (2013) employed univariate and bivariate GARCH models to analyze the volatility spillovers between gold and oil futures incorporating structural breaks using daily returns from July 1, 1993 to June 30, 2010.”