Metal volatility in presence of oil and interest rate shocks

By Shawkat Hammoudeh, Yuan Yuan. 2008

353 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8009664766bce3ede9cf44ff5e7cca1c60ab3c2e

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In Economics and Econometrics

Citations in the corpus

Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014, background): “Hammoudeh and Yuan (2008) use univariate GARCH models to study the volatility behavior of gold, silver and copper prices in response to crude oil and interest rate shocks.”
Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries (2017, neutral): “Finally, we find that gold has a volatility calming effect on oil in the short run (𝛼 𝑜𝑔 ) , which is in line with Hammoudeh and Yuan (2008), though in the long run the effects are positive in both directions (𝛽 𝑜𝑔 , 𝛽 𝑔𝑜 ) .”
World gold prices and stock returns in China: Insights for hedging and diversification strategies (2015, methodology): “1 For example, Hammoudeh and Yuan (2008) make use of various GARCH-based models to examine the properties of conditional volatility for three important metals (gold, silver, and copper) while controlling for shocks from world oil prices (WTI) and three-month US Treasury bill interest rate.”
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆ (2015, neutral): “Hammoudeh and Yuan, 2008; Hammoudeh et al., 2011; Creti et al., 2013; Choi and Hammoudeh, 2010; Zhang et al., 2009; Du et al., 2011; Serra, 2011; Serra et al., 2011; Nazlioglu et al., 2013; Mensi et al., 2013; Mensi et al., 2014; Beckmann and Czudaj, 2014). review of relevant papers that focus…”
US monetary policy and sectoral commodity prices (2015, background): “…moved liquidity from the United States to emerging markets and expanded investments in several asset classes including stocks, real estate and commodities (Batten et al., 2010; Belke et al., 2010b, 2014; Brana et al., 2012; Frankel, 2013; Hammoudeh and Yuan, 2008; Ratti and Vespignani, 2013, 2015).”
Does gold offer a better protection against losses in sovereign debt bonds than other metals (2014, background): “Pindyck and Rotember, (1990); Hammoudeh and Yuan, (2008)), the figure suggests that metal prices tend to”