On the links between stock and commodity markets' volatility

By A. Créti, Marc Joëts, Valérie Mignon. 2013

573 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/b92241d6b5b21c0758f8f671c50df80dc5e94de7

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In Economics and Econometrics

In Renewable Energy, Sustainability and the Environment

Citations in the corpus

Dynamic spillovers between commodity and currency markets (2015, background): “Moreover, volatility of commodity returns itself can play an important role in designing optimal hedging strategies (Creti et al., 2013). Further, volatility of asset returns depends on the rate of information flow; as a result, information from one market can be incorporated into the volatility gen”
Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility (2018, methodology): “Therefore, Engel (2002) developed the DCC-GARCH model to overcome the deficiencies of the BEKK model, and it has been extensively adopted to investigate the volatility correlation among different markets (Creti, Joëts, and Mignon 2013; Sadorsky 2014).”
Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis (2017, background): “For example, Adams and Gluck (2015), Creti et al. (2013), Han et al. (2015), and Nagayev et al. (2016) have attributed the price link between crude oil and agricultural commodities to the global financial crisis due to the increasing use of agricultural commodities as financial assets during this…”
Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries (2017, unknown): “However, most of the literature has focused on developed countries (Baur and McDermott, 2010; Hood and Malik, 2013; Choi and Hammoudeh, 2010; Creti et al. 2013; Ciner, 2013), while developing countries have only recently started receiving further attention (Basher and Sadorsky, 2016).”
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).”
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆ (2015, unknown): “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…”