What Every Investor Should Know About Commodities, Part Ii: Multivariate Return Analysis
By H. M. Kat, Roel C. A. Oomen. 2006
124 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/b659d68b1a33d07d79ba03b609e5de91e82ca95e
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
- George Filis
- Stavros Degiannakis *
- Sang Hoon Kang
- Walid Mensi
- Rustam Boldanov
- Ahmet Sensoy
- K. Al-Yahyaee
- Susan Thorp
In Finance
- George Filis
- Stavros Degiannakis *
- Sang Hoon Kang
- Susan Thorp
- Walid Mensi
- K. Al-Yahyaee
- Rustam Boldanov
- Ahmet Sensoy
Citations in the corpus
- Commodity and Equity Markets: Some Stylized Facts from a Copula Approach (2013, unknown): “Sklar(1959) shows that any multivariate distribution function can be decomposed into marginal distributions that describe the individual behavior of each series and the copula that fully captures the dependence between them.”
- Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (2016, background): “Furthermore, many financial institutions and investors consider the oil market as a profitable alternative destination since it has low correlation with traditional asset classes and positive co-movement with inflation (see, for example, Kat and Oomen, 2007, and Silvennoinen and Thorp, 2010).”
- Financialization, Crisis and Commodity Correlation Dynamics (2013, background): “…is motivated by the belief that commodities o¤er reliable diversi cation against downturns in stock markets, exhibiting low correlation with traditional assets that is robust to extreme events (Gorton and Rouwenhorst 2006; Kat and Oomen 2006; Chong and Mi¤re 2008; Büyükşahn, Haigh and Robe 2008).”
- Energy, precious metals, and GCC stock markets: Is there any risk spillover? (2019, background): “…2001; Baur and Lucey, 2010; Baur and McDermott, 2010; Georgiev, 2001; Gürgün and Ünalmiș, 2014; Hillier et al., 2006; Gorton and Rouwenhorst, 2006; Kat and Oomen, 2007; Chong and Miffre, 2010; Buyuksahin et al., 2010; Belousova and Dorfleitner, 2012).1 Not surprisingly, commodities are viewed as…”