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The volatility behavior and dependence structure of commodity futures and stocks

Gao, Lin; Liu, Lu - In: The journal of futures markets 34 (2014) 1, pp. 93-101

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Is world oil market "one great pool"? : an example from China's and international oil markets

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A study of Shanghai fuel oil futures price volatility based on high frequency data : long-range dependence, modeling and forecasting

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The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks

Gao, Lin - 2015

This paper finds substantial risk diversification potential between certain commodity groups and stocks by exploring the dependence between their patterns of regime switching. None of the commodity groups share a common volatility regime with stocks, nor are the regime switching patterns of...

Persistent link: https://www.econbiz.de/10013037864

Financialization and commodity excess spillovers

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Global financial uncertainties and China's crude oil futures market : evidence from interday and intraday price dynamics

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