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Realized correlations, betas and volatility spillover in the commodity market: What has changed?

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  • Matteo Bonato

Abstract

This papers adopts the recently proposed realized Beta GARCH model of Hansen et al. (J. Appl. Econ. (2014)) to examine the changes in price and return dynamics that affected the commodity market during the 2007-2008 boom and bust. We provide evidence that, starting from 2006, realized correlations between agricultural commodities within the same group significantly increased. […]

Suggested Citation

  • Matteo Bonato, 2016. "Realized correlations, betas and volatility spillover in the commodity market: What has changed?," Working Papers 639, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:639
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    Cited by:

    1. Konstantinos Gkillas & Christoforos Konstantatos & Costas Siriopoulos, 2021. "Uncertainty Due to Infectious Diseases and Stock–Bond Correlation," Econometrics, MDPI, vol. 9(2), pages 1-18, April.

    More about this item

    Keywords

    Quantitative Methods;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G1 - Financial Economics - - General Financial Markets

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