Modeling Exchange Rate and Industrial Commodity Volatility Transmissions
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- Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo, 2016.
"How is volatility in commodity markets linked to oil price shocks?,"
Elsevier, vol. 59(C), pages 11-23.
- Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2015. "How is Volatility in Commodity Markets Linked to Oil Price Shocks?," Working Papers 2015.101, Fondazione Eni Enrico Mattei.
- Todorova, Neda & Worthington, Andrew & Souček, Michael, 2014. "Realized volatility spillovers in the non-ferrous metal futures market," Resources Policy, Elsevier, vol. 39(C), pages 21-31.
- Todorova, Neda, 2015. "The course of realized volatility in the LME non-ferrous metal market," Economic Modelling, Elsevier, vol. 51(C), pages 1-12.
More about this item
Keywordsmultivariate GARCH; shocks; volatility; transmission; portfolio weights;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-03-22 (All new papers)
- NEP-ETS-2009-03-22 (Econometric Time Series)
- NEP-IFN-2009-03-22 (International Finance)
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