期刊
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
卷 25, 期 -, 页码 113-121出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.iref.2012.06.008
关键词
Volatility transmission; Oil volatility; Gold volatility; Structural breaks; GARCH
This paper employs univariate and bivariate GARCH models to examine the volatility of gold and oil futures incorporating structural breaks using daily returns from July 1, 1993 to June 30, 2010. We find strong evidence of significant transmission of volatility between gold and oil returns when structural breaks in variance are accounted for in the model. We compute optimal portfolio weights and dynamic risk minimizing hedge ratios to highlight the significance of our empirical results. Our findings support the idea of cross-market hedging and sharing of common information by financial market participants. (C) 2012 Elsevier Inc. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据