Article ID Journal Published Year Pages File Type
963365 Journal of International Financial Markets, Institutions and Money 2013 24 Pages PDF
Abstract
► Commodity derivatives markets have attracted increasing investor interest over the past decade. ► Dynamic conditional correlation modelling between commodity futures and stocks indicates declining diversification benefits. ► Smooth transition models detect both sudden and gradual changes in correlation states. ► Financial state variables (VIX and financial trader open interest) drive changes in volatility and correlation. ► Breaks in correlation structure begin around the early 2000s and increase sharply during the GFC.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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