Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5054882 | Economic Modelling | 2013 | 8 Pages |
Abstract
⺠We study the return links and volatility transmission mechanisms. ⺠There is a significant transmission among the S&P 500 and commodity markets. ⺠The past shocks and volatility of the S&P 500 influenced the oil and gold markets. ⺠We study optimal weights and hedge ratios for commodities portfolio holdings.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Walid Mensi, Makram Beljid, Adel Boubaker, Shunsuke Managi,