Article ID Journal Published Year Pages File Type
5054882 Economic Modelling 2013 8 Pages PDF
Abstract
► We study the return links and volatility transmission mechanisms. ► There is a significant transmission among the S&P 500 and commodity markets. ► The past shocks and volatility of the S&P 500 influenced the oil and gold markets. ► 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
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