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http://hdl.handle.net/11328/4073| Title: | Commodity and stock markets: dynamic volatility spillovers |
| Authors: | Pinho, Carlos Maldonado, Isabel |
| Keywords: | Implied volatility indices Dynamic spillovers Connectedness |
| Issue Date: | Sep-2020 |
| Publisher: | Asociación Española de Contabilidad y Administración de Empresas |
| Citation: | Pinho, C., & Maldonado, I. (2020). Commodity and stock markets: dynamic volatility spillovers. AECA: Revista de la Asociación Española de Contabilidad y Administración de Empresas, (131, septiembre 2020), 44-47. Repositório Institucional UPT. http://hdl.handle.net/11328/4073 |
| Abstract: | This paper presents new evidence on the relationship between implied stock and commodity volatility indices, using a systemic approach. Our results suggest that about 40 % of the total variance of the forecast errors is explained by shocks in emerging stock markets, developed stock markets, oil and gold markets during the period from 15 August 2011 - 30 June 2020. We also found a significant time-varying dependence volatility, with an increase of volatility connectedness during periods of high instability. |
| URI: | http://hdl.handle.net/11328/4073 |
| ISSN: | 1577-2403 |
| Appears in Collections: | REMIT – Artigos em Revistas Internacionais / Papers in International Journals |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| CommodityEquityConnectedness.pdf | 365.94 kB | Adobe PDF | View/Open |
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