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• W2014673962 abstract "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." @default.
• W2014673962 created "2016-06-24" @default.
• W2014673962 creator A5021985785 @default.
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• W2014673962 date "2013-01-01" @default.
• W2014673962 modified "2023-10-18" @default.
• W2014673962 title "Volatility transmission between gold and oil futures under structural breaks" @default.
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• W2014673962 doi "https://doi.org/10.1016/j.iref.2012.06.008" @default.
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