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Volatility Spillover

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

Matteo Bonato
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...
Oct 2016
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