IDEAS home Printed from https://ideas.repec.org/r/hal/wpaper/hal-00980125.html
   My bibliography  Save this item

On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Johnson A. Oliyide & Oluwasegun B. Adekoya & Muhammad A. Khan, 2021. "Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension," International Economics, CEPII research center, issue 167, pages 136-150.
  2. Shelly Singhal & Pratap Chandra Biswal, 2021. "Dynamic Commodity Portfolio Management: A Regime-switching VAR Model," Global Business Review, International Management Institute, vol. 22(2), pages 532-549, April.
  3. Das, Debojyoti & Bhatia, Vaneet & Kumar, Surya Bhushan & Basu, Sankarshan, 2022. "Do precious metals hedge crude oil volatility jumps?," International Review of Financial Analysis, Elsevier, vol. 83(C).
  4. Khaled Mokni, 2018. "Empirical Analysis Of The Relationship Between Oil And Precious Metals Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-20, March.
  5. Adewuyi, Adeolu O. & Awodumi, Olabanji B. & Abodunde, Temitope T., 2019. "Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria," Resources Policy, Elsevier, vol. 61(C), pages 348-362.
  6. Pu, Yingjian & Yang, Baochen, 2022. "The commodity futures' historical basis in trading strategy and portfolio investment," Energy Economics, Elsevier, vol. 105(C).
  7. Kumar, Suresh & Choudhary, Sangita & Singh, Gurcharan & Singhal, Shelly, 2021. "Crude oil, gold, natural gas, exchange rate and indian stock market: Evidence from the asymmetric nonlinear ARDL model," Resources Policy, Elsevier, vol. 73(C).
  8. Oscar V. De la Torre-Torres & José Álvarez-García & María de la Cruz del Río-Rama, 2024. "An EM/MCMC Markov-Switching GARCH Behavioral Algorithm for Random-Length Lumber Futures Trading," Mathematics, MDPI, vol. 12(3), pages 1-21, February.
  9. Li, Wenlan & Cheng, Yuxiang & Fang, Qiang, 2020. "Forecast on silver futures linked with structural breaks and day-of-the-week effect," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  10. Behmiri, Niaz Bashiri & Manera, Matteo, 2015. "The role of outliers and oil price shocks on volatility of metal prices," Resources Policy, Elsevier, vol. 46(P2), pages 139-150.
  11. Mokni, Khaled & Hammoudeh, Shawkat & Ajmi, Ahdi Noomen & Youssef, Manel, 2020. "Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?," Resources Policy, Elsevier, vol. 69(C).
  12. Lau, Marco Chi Keung & Vigne, Samuel A. & Wang, Shixuan & Yarovaya, Larisa, 2017. "Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 316-332.
  13. Behmiri, Niaz Bashiri & Manera, Matteo & Nicolini, Marcella, 2016. "Understanding Dynamic Conditional Correlations between Commodities Futures Markets," ESP: Energy Scenarios and Policy 232223, Fondazione Eni Enrico Mattei (FEEM).
  14. Khalfaoui, Rabeh & Tiwari, Aviral Kumar & Kablan, Sandrine & Hammoudeh, Shawkat, 2021. "Interdependence and lead-lag relationships between the oil price and metal markets: Fresh insights from the wavelet and quantile coherency approaches," Energy Economics, Elsevier, vol. 101(C).
  15. Mehmet Balcilar & Zeynel Abidin Ozdemir, 2018. "The volatility effect on precious metals prices in a stochastic volatility in mean model with time-varying parameters," Working Papers 15-34, Eastern Mediterranean University, Department of Economics.
  16. Charlot, Philippe & Marimoutou, Vêlayoudom, 2014. "On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree," Energy Economics, Elsevier, vol. 44(C), pages 456-467.
  17. Liu, Chang & Hu, Zhenhua & Li, Yan & Liu, Shaojun, 2017. "Forecasting copper prices by decision tree learning," Resources Policy, Elsevier, vol. 52(C), pages 427-434.
  18. Vigne, Samuel A. & Lucey, Brian M. & O’Connor, Fergal A. & Yarovaya, Larisa, 2017. "The financial economics of white precious metals — A survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 292-308.
  19. Luo, Hongyuan & Wang, Deyun & Cheng, Jinhua & Wu, Qiaosheng, 2022. "Multi-step-ahead copper price forecasting using a two-phase architecture based on an improved LSTM with novel input strategy and error correction," Resources Policy, Elsevier, vol. 79(C).
  20. Scarcioffolo, Alexandre R. & Etienne, Xiaoli L., 2021. "Regime-switching energy price volatility: The role of economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 336-356.
  21. Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Uddin, Gazi Salah & Hedström, Axel, 2018. "Precious metal returns and oil shocks: A time varying connectedness approach," Resources Policy, Elsevier, vol. 58(C), pages 77-89.
  22. Zhang, Zitao & Qin, Yun, 2022. "Study on the nonlinear interactions among the international oil price, the RMB exchange rate and China's gold price," Resources Policy, Elsevier, vol. 77(C).
  23. Maitra, Debasish & Guhathakurta, Kousik & Kang, Sang Hoon, 2021. "The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications," Energy Economics, Elsevier, vol. 94(C).
  24. Das, Debojyoti & Kannadhasan, M., 2020. "The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 563-581.
  25. Khoshalan, Hasel Amini & Shakeri, Jamshid & Najmoddini, Iraj & Asadizadeh, Mostafa, 2021. "Forecasting copper price by application of robust artificial intelligence techniques," Resources Policy, Elsevier, vol. 73(C).
  26. Marco Tronzano, 2021. "Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)," JRFM, MDPI, vol. 14(3), pages 1-25, March.
  27. Raza, Syed Ali & Masood, Amna & Benkraiem, Ramzi & Urom, Christian, 2023. "Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach," Energy Economics, Elsevier, vol. 120(C).
  28. Marinella Davide & Paola Vesco, 2016. "Alternative Approaches for Rating INDCs: a Comparative Analysis," Working Papers 2016.18, Fondazione Eni Enrico Mattei.
  29. Reboredo, Juan C. & Ugolini, Andrea, 2016. "The impact of downward/upward oil price movements on metal prices," Resources Policy, Elsevier, vol. 49(C), pages 129-141.
  30. Mensi, Walid & Nekhili, Ramzi & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 73-96.
  31. Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
  32. Das, Debojyoti & Maitra, Debasish & Dutta, Anupam & Basu, Sankarshan, 2022. "Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework," Energy Economics, Elsevier, vol. 115(C).
  33. Zhao, Jue & Hosseini, Shahab & Chen, Qinyang & Jahed Armaghani, Danial, 2023. "Super learner ensemble model: A novel approach for predicting monthly copper price in future," Resources Policy, Elsevier, vol. 85(PB).
  34. Shahzad, Syed Jawad Hussain & Rehman, Mobeen Ur & Jammazi, Rania, 2019. "Spillovers from oil to precious metals: Quantile approaches," Resources Policy, Elsevier, vol. 61(C), pages 508-521.
  35. Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
  36. Rehman, Mobeen Ur & Zeitun, Rami & Mardani, Abbas & Vo, Xuan Vinh & Eraslan, Veysel, 2022. "Asymmetric pass through of energy commodities to US sectoral returns," Resources Policy, Elsevier, vol. 76(C).
  37. Umar, Zaghum & Nasreen, Samia & Solarin, Sakiru Adebola & Tiwari, Aviral Kumar, 2019. "Exploring the time and frequency domain connectedness of oil prices and metal prices," Resources Policy, Elsevier, vol. 64(C).
  38. Bao, Dun, 2020. "Dynamics and correlation of platinum-group metals spot prices," Resources Policy, Elsevier, vol. 68(C).
  39. Chang, Lei & Mohsin, Muhammad & Hasnaoui, Amir & Taghizadeh-Hesary, Farhad, 2023. "Exploring carbon dioxide emissions forecasting in China: A policy-oriented perspective using projection pursuit regression and machine learning models," Technological Forecasting and Social Change, Elsevier, vol. 197(C).
  40. Shahzad, Farrukh & Bouri, Elie & Mokni, Khaled & Ajmi, Ahdi Noomen, 2021. "Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility," Resources Policy, Elsevier, vol. 74(C).
  41. Lee, Chien-Chiang & Lee, Hsiang-Tai, 2023. "Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model," Global Finance Journal, Elsevier, vol. 55(C).
  42. Al-Yahyaee, Khamis Hamed & Mensi, Walid & Maitra, Debasish & Al-Jarrah, Idries Mohammad Wanas, 2019. "Portfolio management and dependencies among precious metal markets: Evidence from a Copula quantile-on-quantile approach," Resources Policy, Elsevier, vol. 64(C).
  43. Wang, Yang & Cao, Xinbang & Sui, Xiuping & Zhao, Wenxi, 2019. "How do black swan events go global? -Evidence from US reserves effects on TOCOM gold futures prices," Finance Research Letters, Elsevier, vol. 31(C).
  44. Singh, Vipul Kumar & Kumar, Pawan & Nishant, Shreyank, 2019. "Feedback spillover dynamics of crude oil and global assets indicators: A system-wide network perspective," Energy Economics, Elsevier, vol. 80(C), pages 321-335.
  45. Díaz, Juan D. & Hansen, Erwin & Cabrera, Gabriel, 2020. "A random walk through the trees: Forecasting copper prices using decision learning methods," Resources Policy, Elsevier, vol. 69(C).
  46. Srivastava, Mrinalini & Rao, Amar & Parihar, Jaya Singh & Chavriya, Shubham & Singh, Surendar, 2023. "What do the AI methods tell us about predicting price volatility of key natural resources: Evidence from hyperparameter tuning," Resources Policy, Elsevier, vol. 80(C).
  47. Abdulsalam Abidemi Sikiru & Afees A. Salisu, 2023. "Hedging against risks associated with travel and tourism stocks during COVID‐19 pandemic: The role of gold," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1872-1882, April.
  48. Chen, Yufeng & Qu, Fang, 2019. "Leverage effect and dynamics correlation between international crude oil and China’s precious metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  49. Nekhili, Ramzi & Sultan, Jahangir & Mensi, Walid, 2021. "Co-movements among precious metals and implications for portfolio management: A multivariate wavelet-based dynamic analysis," Resources Policy, Elsevier, vol. 74(C).
  50. Elina Pradkhan, 2016. "Information Content of Trading Activity in Precious Metals Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(5), pages 421-456, May.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.