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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

Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets

Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399

Persistent link: https://www.econbiz.de/10010528976

Modelling time varying volatility spillovers and conditional correlations across commodity metal futures

Karanasos, Menelaos; Ali, Faek Menla; Margaronis, Zannis; … - In: International review of financial analysis 57 (2018), pp. 246-256

Persistent link: https://www.econbiz.de/10012006357

Power ARCH modelling of commodity futures data on the London metal exchange

McKenzie, Michael D. (contributor) - In: The European journal of finance 7 (2001) 1, pp. 22-38

Persistent link: https://www.econbiz.de/10001542130

Basis variations and regime shifts in the oil futures market

Fong, Wai-mun; See, Kim Hock - In: The European journal of finance 9 (2003) 5, pp. 499-513

Persistent link: https://www.econbiz.de/10001885513

Short-run deviations and time-varying hedge ratios : evidence from agricultural futures markets

Choudhry, Taufiq - In: International review of financial analysis 18 (2009) 1/2, pp. 58-65

Persistent link: https://www.econbiz.de/10003850310

Asymmetries, causality and correlation between FTSE100 spot and futures : a DCC-TGARCH-M analysis

Tao, Juan; Green, Christopher J. - In: International review of financial analysis 24 (2012), pp. 26-37

Persistent link: https://www.econbiz.de/10009688185

Realized volatility spillovers between US spot and futures during ECB news : evidence from the European sovereign debt crisis

Gillas, Konstantinos Gkillas; Konstantatos, Christoforos; … - In: International review of financial analysis 74 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012803941

Forecasting crude oil volatility with geopolitical risk : do time-varying switching probabilities play a role?

Wang, Lu; Ma, Feng; Hao, Jianyang; Gao, Xinxin - In: International review of financial analysis 76 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012804675

Dynamic volatility spillovers across oil and natural gas futures markets based on a time-varying spillover method

Gong, Xu; Liu, Yun; Wang, Xiong - In: International review of financial analysis 76 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012804753