Journal article
Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment
Energy policy, v 38(8), pp 4388-4399
2010
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study supplements previous regime-switching studies on WTI crude oil and finds two possible volatility regimes for the strategic commodity prices of Brent oil, WTI oil, copper, gold and silver, and the S&P 500 index, but with varying high-to-low volatility ratios. The dynamic conditional correlations (DCCs) indicate increasing correlations among all the commodities since the 2003 Iraq war but decreasing correlations with the S&P 500 index. The commodities also show different volatility persistence responses to financial and geopolitical crises, while the S&P 500 index responds to both financial and geopolitical crises. Implications are discussed.
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Details
- Title
- Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment
- Creators
- Kyongwook Choi - University of SeoulShawkat Hammoudeh - Drexel University
- Publication Details
- Energy policy, v 38(8), pp 4388-4399
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000279117500054
- Scopus ID
- 2-s2.0-77952807597
- Other Identifier
- 991019168093204721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics
- Energy & Fuels
- Environmental Sciences
- Environmental Studies