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Title: Commodity and stock markets: dynamic volatility spillovers
Authors: Pinho, Carlos
Maldonado, Isabel
Keywords: Implied volatility indices
Dynamic spillovers
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.
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.
ISSN: 1577-2403
Appears in Collections:REMIT – Artigos em Revistas Internacionais / Papers in International Journals

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