Downside risk in commodity and equity markets

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dc.contributor.authorPinho, Carlos
dc.contributor.authorMaldonado, Isabel
dc.date.accessioned2019-02-27T15:44:25Z
dc.date.available2019-02-27T15:44:25Z
dc.date.issued2019
dc.description.abstractThe aim of the present study is to analyse the tail risk of global commodities indices and a set of share indexes of several countries and regions. To measure the downside risk we use two tail risk measures, namely the Value-at-Risk (VaR) and the Conditional Value-at-Risk (CvaR), determined by parametric, semi-parametric and non-parametric approaches. Using daily prices comprising the period from January of 2002 to December 2016 and considering the pre- and post-global financial crisis sub-periods. A time-varying correlation between stock and commodity markets returns, comparing returns and downside risk measures was carry out. Overall, our findings indicate that tail risk of commodity markets is higher than stock market over the period, for almost all commodities, but that over the crisis period analysed the tail risk of stock market indices sharply increases to the same levels of commodities tail risk. The correlations between commodity and stock returns evolve through time. Considering the tail risk measures, for all analysed pairs, commodity and stock returns, we observe very high contemporaneous correlations during the crisis period.pt_PT
dc.identifier.citationPinho, C., & Maldonado, I. (2019). Downside risk in commodity and equity markets. In Proceedings of the XXIX Jornadas Hispano-Lusas de Gestión Científica, Osuna, Espanha, 30 jan.-2 fev.2019. Disponível no Repositório UPT, http://hdl.handle.net/11328/2600pt_PT
dc.identifier.isbn9788409084043
dc.identifier.urihttp://hdl.handle.net/11328/2600
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.rightsopen accesspt_PT
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectDownside riskpt_PT
dc.subjectCvaRpt_PT
dc.subjectDynamic conditional correlationpt_PT
dc.titleDownside risk in commodity and equity marketspt_PT
dc.typeconferenceObjectpt_PT
degois.publication.locationOsuna, Espanhapt_PT
degois.publication.titleXXIX Jornadas Hispano-Lusas de Gestión Científicapt_PT
dspace.entity.typePublicationen
person.affiliation.nameREMIT – Research on Economics, Management and Information Technologies
person.familyNameMaldonado
person.givenNameIsabel
person.identifier.ciencia-id1D1D-3612-D593
person.identifier.orcid0000-0002-1292-6201
relation.isAuthorOfPublication1d5bf75b-f0ec-4431-aa1e-cfb8be344155
relation.isAuthorOfPublication.latestForDiscovery1d5bf75b-f0ec-4431-aa1e-cfb8be344155

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