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Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications
Published in Elsevier BV
2019
Volume: 85
   
Pages: 104 - 566
Abstract
This paper analyses the changing impact of oil price shocks on a bouquet of metal and agro prices and their implications for investment decisions, during different oil price regimes, separated by structural breaks. Endogenously identifying the structural breaks, we use network analysis to decipher the nature and extent of such shock transfer across different sub periods. We suggest optimal portfolios based on conditional variance estimates to hedge oil shocks during each period. This is the first study to analyse the portfolio decisions during specific oil price regimes. The results are of significant interest to investors and policy makers.
About the journal
JournalData powered by TypesetEnergy Economics
PublisherData powered by TypesetElsevier BV
ISSN0140-9883
Open AccessNo