Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment

By Kyongwook Choi, Shawkat Hammoudeh. 2010

380 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d5110f4f2ba516d804ac86257d92ff828c7df8ca

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Citations in the corpus

Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (2016, methodology): “Indicatively, Choi and Hammoudeh (2010) employ a DCC model to examine the correlation between the stock market and oil markets (among other commodities) since Iraq war in 2003 and report that this correlation is decreasing over time and negative.”
Dynamic spillovers between commodity and currency markets (2015, background): “The particulary high volatility of oil returns can hinder the interpretaton of market signals and may restrain new investment (Choi and Hammoudeh, 2010).”
The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, background): “Most recently, 6 For linkage between oil prices and stock returns, see also Jones and Kaul (1996), Hammoudeh, et al. (2004), Park and Ratti (2008), Chiou and Lee (2009), Malik and Ewing (2009), Choi and Hammoudeh (2010), and Filis et al. (2011).”
How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020, background): “Choi and Hammoudeh (2010) rightly infer that investors in commodity assets consistently track movements in the prices of commodities and stocks, certainly to make optimal investment choices.”
Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011, methodology): “As far as volatility modeling of oil and stock markets is concerned, GARCH-type models have received a particular interest from almost all previous papers (e.g., Narayan and Narayan, 2007; Kang et al., 2009; Oberndorfer, 2009; Choi and Hammoudeh, 2010).”
How is Volatility in Commodity Markets Linked to Oil Price Shocks (2016, methodology): “Choi and Hammoudeh [2010] use a DCC-GARCH model during the 1990-2006 period, and find an increasing correlation between oil and industrial commodities since the 2003 Iraq war but decreasing correlations with the S&P 500 index. Du et al. [2011] use stochastic volatility models to oil, corn and wheat ”
On the links between stock and commodity markets' volatility (2013, methodology): “Furthermore, as documented by Choi and Hammoudeh (2010), commodity traders concurrently look at both stock and commodity market fluctuations to infer the trend of each market.”
Oil price shocks and stock market returns: New evidence from the United States and China (2014, background): “Some notable studies include for instance Choi and Hammoudeh (2010) who apply the Dynamic Conditional Correlation model (DCC) to investigate relationships between commodity prices including oil, copper, gold and silver, with the S&P 500 index and show evidence of increasing correlations between all…”