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- W3150884098 abstract "In this paper, we analyze time-varying correlations between commodity markets and S&P 500 index, employing a recent and novel technique: asymmetric dynamic conditional correlation (ADCC) model. Using weekly data from January 3, 1992 to December 27, 2013, we provide evidence of highly volatile correlations, which substantially increase after the 2007-2008 financial crisis. We also find that conditional correlations and variances are positively linked in overall, which implies deterioration in diversification benefits. Finally, we examine the impacts of financial crises on the conditional correlations and find that external shocks have different effects on the correlations. Our results have potential implications for investors, portfolio managers, commodity producers and policy makers." @default.
- W3150884098 created "2021-04-13" @default.
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- W3150884098 date "2014-01-01" @default.
- W3150884098 modified "2023-09-28" @default.
- W3150884098 title "Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises" @default.
- W3150884098 hasPublicationYear "2014" @default.
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