Commodity and stock markets: dynamic volatility spillovers

Detalhes bibliográficos
Autor(a) principal: Pinho, Carlos
Data de Publicação: 2020
Outros Autores: Maldonado, Isabel
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/11328/4073
Resumo: 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.
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spelling Commodity and stock markets: dynamic volatility spilloversImplied volatility indicesDynamic spilloversConnectednessThis 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.Asociación Española de Contabilidad y Administración de Empresas2022-05-05T15:43:41Z2020-09-01T00:00:00Z2020-09info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/11328/4073eng1577-2403Pinho, CarlosMaldonado, Isabelinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-06-15T02:12:38ZPortal AgregadorONG
dc.title.none.fl_str_mv Commodity and stock markets: dynamic volatility spillovers
title Commodity and stock markets: dynamic volatility spillovers
spellingShingle Commodity and stock markets: dynamic volatility spillovers
Pinho, Carlos
Implied volatility indices
Dynamic spillovers
Connectedness
title_short Commodity and stock markets: dynamic volatility spillovers
title_full Commodity and stock markets: dynamic volatility spillovers
title_fullStr Commodity and stock markets: dynamic volatility spillovers
title_full_unstemmed Commodity and stock markets: dynamic volatility spillovers
title_sort Commodity and stock markets: dynamic volatility spillovers
author Pinho, Carlos
author_facet Pinho, Carlos
Maldonado, Isabel
author_role author
author2 Maldonado, Isabel
author2_role author
dc.contributor.author.fl_str_mv Pinho, Carlos
Maldonado, Isabel
dc.subject.por.fl_str_mv Implied volatility indices
Dynamic spillovers
Connectedness
topic Implied volatility indices
Dynamic spillovers
Connectedness
description 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.
publishDate 2020
dc.date.none.fl_str_mv 2020-09-01T00:00:00Z
2020-09
2022-05-05T15:43:41Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/11328/4073
url http://hdl.handle.net/11328/4073
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1577-2403
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Asociación Española de Contabilidad y Administración de Empresas
publisher.none.fl_str_mv Asociación Española de Contabilidad y Administración de Empresas
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1777302556753526784

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