Volatility returns with vengeance: Financial markets vs. commodities
Aboura, Sofiane; Chevallier, Julien (2015), Volatility returns with vengeance: Financial markets vs. commodities, Research in International Business and Finance, 33, p. 334–354. 10.1016/j.ribaf.2014.04.003
TypeArticle accepté pour publication ou publié
Journal nameResearch in International Business and Finance
MetadataShow full item record
Abstract (EN)To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise’ component into the asymmetric DCC with one exogenous variable (ADCCX) framework. We develop an econometric model in which returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks, bonds and currencies from 1983 to 2013. The innovative feature of our model is that these volatility spillovers are modeled consistently within the correlation dynamics of the ADCCX model. We find evidence that return and volatility spillovers do exist between commodity and financial markets and that in turn, their relative impact on each other is very substantial.
Subjects / KeywordsVolatility spillovers; Financial Markets; Commodities; ADCCX; Bonds; Stocks
JELC32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
C44 - Operations Research; Statistical Decision Theory
G15 - International Financial Markets
C58 - Financial Econometrics
G10 - General
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
Q10 - General
Q30 - General
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