Frequency connectedness between DeFi and cryptocurrency markets
In: The quarterly review of economics and finance, Band 93, S. 12-27
ISSN: 1062-9769
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In: The quarterly review of economics and finance, Band 93, S. 12-27
ISSN: 1062-9769
In: Energy economics, Band 48, S. 46-60
ISSN: 1873-6181
In: Energy economics, Band 42, S. 343-354
ISSN: 1873-6181
In: FRL-D-22-02175
SSRN
In: Economic Analysis and Policy, Band 78, S. 60-83
In: Economic Analysis and Policy, Band 74, S. 702-715
Abstract This paper employs a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 and commodity price indices for energy, food, gold and beverages over the turbulent period from 2000 to 2011. Understanding the price behavior of commodity prices and the volatility transmission mechanism between these markets and the stock exchanges are crucial for each participant, including governments, traders, portfolio managers, consumers, and producers. For return and volatility spillover, the results show significant transmission among the S&P 500 and commodity markets. The past shocks and volatility of the S&P 500 strongly influenced the oil and gold markets. This study finds that the highest conditional correlations are between the S&P 500 and gold index and the S&P 500 and WTI index. We also analyze the optimal weights and hedge ratios for commodities/S&P 500 portfolio holdings using the estimates for each index. Overall, our findings illustrate several important implications for portfolio hedgers for making optimal portfolio allocations, engaging in risk management and forecasting future volatility in equity and commodity markets.
BASE
In: NAJEF-D-23-00613
SSRN
In: The quarterly review of economics and finance, Band 72, S. 168-177
ISSN: 1062-9769
In: IREF-D-22-00171
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In: RIBAF-D-22-00616
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In: Economic Analysis and Policy, Band 71, S. 73-96
In: JRPO-D-22-01365
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In: NAJEF-D-22-00319
SSRN
In: JRPO-D-22-01157
SSRN