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