Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications
Abstract
This paper analyses the changing impact of oil price shocks on a bouquet of metal and agro prices and their implications for investment decisions, during different oil price regimes, separated by structural breaks. Endogenously identifying the structural breaks, we use network analysis to decipher the nature and extent of such shock transfer across different sub periods. We suggest optimal portfolios based on conditional variance estimates to...
Paper Details
Title
Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications
Published Date
Jan 1, 2020
Journal
Volume
85
Pages
104566 - 104566
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