Asset market linkages: Evidence from financial, commodity and real estate assets

By K. F. Chan, Sirimon Treepongkaruna, R. Brooks, Stephen Gray. 2011

305 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7aca3f8df32e7510f9d90bf3721772afd34c5a1f

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In Economics and Econometrics

Citations in the corpus

Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, background): “…on-going financial crises, and the attendant strength of commodity prices, have renewed interest in understanding the fundamental process of information transmission through which commodity market returns and volatility have become increasingly correlated (Chng, 2009; Chan et al., 2011).”
A model of carbon price interactions with macroeconomic and energy dynamics (2011, background): “Finally, in papers dealing with a higher number of regimes (see Maheu and McCurdy (2000), Guidolin and Timmermann (2006), and Chan et al. (2011)), it is often the case that the two-regime model brings the best statistical results.”
A new time-varying optimal copula model identifying the dependence across markets (2017, background): “During the crisis period, markets may be more sensitive to the inflow of information, a financial contagion may spread across the whole market system and then strong linkages may be observed among different assets (Chan et al. 2011; Graham et al. 2013).”
Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, methodology): “Chan et al. (2011) used a Markov switching model to measure the level of interdependence across financial assets, commodities and real estate assets using monthly data from January 1987 to December 2008.”
Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests (2015, background): “The gold price hit its (then) record high of over US$1000 per ounce in March 2008 (Chan et al., 2011).”
Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries (2014, background): “This result is consistent with the findings of Kanas (2005) and Chan et al. (2011).”