Commodity and stock markets: dynamic volatility spillovers

dc.contributor.authorPinho, Carlos
dc.contributor.authorMaldonado, Isabel
dc.date.accessioned2022-05-05T15:43:41Z
dc.date.available2022-05-05T15:43:41Z
dc.date.issued2020-09
dc.description.abstractThis paper presents new evidence on the relationship between implied stock and commodity volatility indices, using a systemic approach. Our results suggest that about 40 % of the total variance of the forecast errors is explained by shocks in emerging stock markets, developed stock markets, oil and gold markets during the period from 15 August 2011 - 30 June 2020. We also found a significant time-varying dependence volatility, with an increase of volatility connectedness during periods of high instability.pt_PT
dc.identifier.citationPinho, C., & Maldonado, I. (2020). Commodity and stock markets: dynamic volatility spillovers. AECA: Revista de la Asociación Española de Contabilidad y Administración de Empresas, (131, septiembre 2020), 44-47. Repositório Institucional UPT. http://hdl.handle.net/11328/4073pt_PT
dc.identifier.issn1577-2403
dc.identifier.urihttp://hdl.handle.net/11328/4073
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherAsociación Española de Contabilidad y Administración de Empresaspt_PT
dc.relation.publisherversionhttps://aeca.es/wp-content/uploads/2020/09/REVISTA-AECA-131.pdfpt_PT
dc.rightsopen accesspt_PT
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectImplied volatility indicespt_PT
dc.subjectDynamic spilloverspt_PT
dc.subjectConnectednesspt_PT
dc.titleCommodity and stock markets: dynamic volatility spilloverspt_PT
dc.typejournal articlept_PT
degois.publication.firstPage44pt_PT
degois.publication.issue131pt_PT
degois.publication.lastPage47pt_PT
degois.publication.titleAECA: Revista de la Asociación Española de Contabilidad y Administración de Empresaspt_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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