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dc.contributor.authorAboura, Sofiane*
dc.contributor.authorChevallier, Julien*
dc.date.accessioned2014-05-21T11:39:06Z
dc.date.available2014-05-21T11:39:06Z
dc.date.issued2015-01
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13359
dc.language.isoenen
dc.subjectVolatility spilloversen
dc.subjectFinancial Marketsen
dc.subjectCommoditiesen
dc.subjectADCCXen
dc.subjectBonds
dc.subjectStocks
dc.subject.ddc332en
dc.subject.classificationjelC.C3.C32en
dc.subject.classificationjelC.C4.C44en
dc.subject.classificationjelG.G1.G15en
dc.subject.classificationjelC.C5.C58
dc.subject.classificationjelG.G1.G10
dc.subject.classificationjelG.G1.G12
dc.subject.classificationjelQ.Q1.Q10
dc.subject.classificationjelQ.Q3.Q30
dc.titleVolatility returns with vengeance: Financial markets vs. commoditiesen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité Paris 8 (LED), Saint-Denis;France
dc.description.abstractenTo 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.en
dc.relation.isversionofjnlnameResearch in International Business and Finance
dc.relation.isversionofjnlvol33
dc.relation.isversionofjnldate2015-01
dc.relation.isversionofjnlpages334–354en
dc.relation.isversionofdoi10.1016/j.ribaf.2014.04.003en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershipRecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.person.labIds1032*
hal.person.labIds21553*
hal.identifierhal-01529747*


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