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Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda

Katusiime, Lorna - In: Economies : open access journal 7 (2019) 1/1, pp. 1-17

This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic indicator of importance to financial stability:...

Persistent link: https://www.econbiz.de/10012021528

Estimating multi-period value at risk of oil futures prices

Zhou, Chunyang; Qin, Xiao; Diao, Xundi; He, Yingchen - In: Applied economics 48 (2016) 31/33, pp. 2994-3004

Persistent link: https://www.econbiz.de/10011615344

Testing for weak-form efficiency of crude palm oil spot and future markets : new evidence from a GARCH unit root test with multiple structural breaks

Hooi Hooi Lean; Smyth, Russell - In: Applied economics 47 (2015) 16/18, pp. 1710-1721

Persistent link: https://www.econbiz.de/10010511983

Forecasting realized volatility of crude oil futures with equity market uncertainty

Wen, Fenghua; Zhao, Yupei; Zhang, Minzhi; Hu, Chunyang - In: Applied economics 51 (2019) 59, pp. 6411-6427

Persistent link: https://www.econbiz.de/10012197349

Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets

Jiang, Huayun; Todorova, Neda; Roca, Eduardo; Su, Jen-je - In: Applied economics 49 (2017) 34/36, pp. 3435-3452

Persistent link: https://www.econbiz.de/10011774968

Is economic policy uncertainty important to forecast the realized volatility of crude oil futures?

Ma, Feng; Wahab, M. I. M.; Liu, Jing; Liu, Li - In: Applied economics 50 (2018) 18, pp. 2087-2101

Persistent link: https://www.econbiz.de/10011849647

Jumps and volatility dynamics in agricultural commodity spot prices

Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Applied economics 49 (2017) 40, pp. 4035-4054

Persistent link: https://www.econbiz.de/10011820009

Market volatility and the dynamic hedging of multi-commodity price risk

Power, Gabriel J.; Vedenov, Dmitry V.; Anderson, David P.; … - In: Applied economics 45 (2013) 25/27, pp. 3891-3903

Persistent link: https://www.econbiz.de/10010345840

A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios

Lee, Hsiang-tai; Yoder, Jonathan K. - In: Applied economics 39 (2007) 10/12, pp. 1253-1265

Persistent link: https://www.econbiz.de/10003511726

Spillover effects in the global copper futures markets: asymmetric multivariate GARCH approaches

Lee, Hyun-Bock; Park, Cheol-Ho - In: Applied economics 52 (2020) 54, pp. 5909-5920

Persistent link: https://www.econbiz.de/10012308379