Reference : The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks
Scientific journals : Article
Business & economic sciences : Finance
http://hdl.handle.net/10993/7954
The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks
English
Gao, Lin mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
Liu, Lu mailto [Lund University]
2014
Journal of Futures Markets
John Wiley & Sons, Inc. - Business
34
1
93-101
Yes (verified by ORBilu)
International
0270-7314
Hoboken
NJ
[en] commodity futures ; volatility ; regime switching
[en] This study finds substantial risk diversification potential between certain com-
modity groups and stocks by exploring the dependence between their patterns
of regime switching. None of the commodity groups share a common volatility
regime with stocks, nor are the regime-switching patterns of grains, industrials,
metals, or softs, dependent on that of stocks. Simultaneous volatile regimes of
commodity futures and stocks tend to be infrequent and short-lived. In addition,
in spite of financial contagion, animal products, grains, and softs typically demon-
strate very low correlations with stocks even in simultaneous volatile regimes.
http://hdl.handle.net/10993/7954

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