Dynamic connectedness and portfolio strategies: Energy and metal markets

In this paper, we investigate the volatility spillover effect among the global commodity futures (including both energy and metal futures; global stock markets (covering both Developed and Emerging Markets); the US bond market and the US Dollar index by employing the dynamic connectedness approach o...

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Veröffentlicht in:	Resources policy 2020-10, Vol.68, p.101778, Article 101778
Hauptverfasser:	Evrim Mandacı, Pınar, Cagli, Efe Çaglar, Taşkın, Dilvin
Format:	Artikel
Sprache:	eng
Schlagworte:	American dollar Autoregressive models Bond markets Bonds Commodities Commodity futures Commodity markets Connectedness Economic crisis Energy Futures Gold Hedging International finance Investments Investors Market linkage Metals Natural gas Securities markets Stock exchanges Volatility Volatility spillover
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