Modeling volatility and conditional correlations between socially responsible investments, gold and oil
By Perry Sadorsky. 2014
113 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/cab6c4e65bde60066cacae694a6f7239be04f75a
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
- Renatas Kizys
- Jihong Xiao
- Xiaohua Xia
- Mansi Jain
- Chuangxia Huang
- Fenghua Wen
- Gagan Deep Sharma
- Nikolaos Antonakakis
Citations in the corpus
- 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).”
- Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices (2017, unknown): “This paper also extends the current literature, which has mostly relied on linear models to examine the volatility relationships between commodities and stock markets (Lin et al., 2014; Sadorsky, 2014).”
- Dynamic spillovers between commodity and currency markets (2015, background): “The use of weekly data ameliorates concerns over non-synchronicities and bid-ask effects in daily data (see, e.g. Batten et al., 2015; Sadorsky, 2014).”
- Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆ (2015, unknown): “They find that the optimal hedge ratio for Ghana varies between 0.51 and 0.40 while the optimal hedge ratio for Nigeria ranges between 0.56 and 0.50 Sadorsky (2014a) uses multivariate GARCH models to study the volatility dynamics between emerging market stock prices, oil prices, copper prices, and…”
- Can Sustainable Investment Yield Better Financial Returns: A Comparative Study of ESG Indices and MSCI Indices (2019, background): “Sadorsky (2014) employs multi-variate GARCH models to study the volatilities and conditional correlation between a stock price index comprising of socially responsible companies, oil prices, and gold prices and concludes that social and responsible investment exhibits similar results received on…”