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dc.contributor.authorIelpo, Florian
dc.contributor.authorChevallier, Julien
dc.date.accessioned2013-09-25T12:19:57Z
dc.date.available2013-09-25T12:19:57Z
dc.date.issued2013-09
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11708
dc.language.isoenen
dc.subjectVolatility spilloversen
dc.subjectcommoditiesen
dc.subjectstocksen
dc.subjectbondsen
dc.subjectexchange ratesen
dc.subject.ddc332en
dc.subject.classificationjelC32en
dc.subject.classificationjelC58en
dc.subject.classificationjelG10en
dc.subject.classificationjelQ02en
dc.titleVolatility spillovers in commodity marketsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis article investigates volatility spillovers in commodity markets by following the methodology pioneered in Diebold and Yilmaz (2012). By using a broad data set during 1995–2012, we address three key research questions: are there volatility spillovers within commodities? between standard assets and commodities? between commodities and commodity currencies? The main results indicate first that commodities exhibit weaker than other asset classes volatility spillovers. These spillovers have, however, been increasing over the period. Second, agricultural commodities are the commodities exhibiting the lowest spillovers, whereas precious metals and energy are the biggest net contributors. In a diversified portfolio, including commodities – and especially agricultural products – helps decreasing the total spillover index. This stylized fact has, however, been less and less valid over the years. Third, some currencies are more responsive than others to commodity volatility spillovers.en
dc.relation.isversionofjnlnameApplied Economics Letters
dc.relation.isversionofjnlvol20en
dc.relation.isversionofjnlissue13en
dc.relation.isversionofjnldate2013-09
dc.relation.isversionofjnlpages1211-1227en
dc.relation.isversionofdoihttp://dx.doi.org/10.1080/13504851.2013.799748en
dc.relation.isversionofjnlpublisherTaylor & Francisen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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