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Applied Economics Letters Volume 21, 2014 - Issue 9
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Original Articles

Volatility contagion across commodity, equity, foreign exchange and Treasury bond markets

Raquel LópezDepartment of Economic Analysis and Finance, University of Castilla-La Mancha, Albacete02071, SpainCorrespondence[email protected]
Pages 646-650 | Published online: 05 Mar 2014

Citations (14)

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Athanasios P. Fassas, Dimitris Kenourgios & Stephanos Papadamou. (2021) U.S. unconventional monetary policy and risk tolerance in major currency markets. The European Journal of Finance 27:10, pages 994-1008.
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Articles from other publishers (13)

Zeliha Can Ergün, Efe Caglar Cagli & M. Banu Durukan Salı. (2022) The interconnectedness across risk appetite of distinct investor types in Borsa Istanbul. Studies in Economics and Finance 40:3, pages 425-444.
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Yufeng Chen, Jing Xu & Jiafeng Miao. (2023) Dynamic volatility contagion across the Baltic dry index, iron ore price and crude oil price under the COVID-19: A copula-VAR-BEKK-GARCH-X approach. Resources Policy 81, pages 103296.
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Ayşegül Kirkpinar & Mandaci EvrimPınarPınar. (2023) A volatility spillover analysis between bond and commodity markets as an indicator for global liquidity risk. Panoeconomicus 70:1, pages 71-100.
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Ahmed Ayadi, Marjène Gana, Stéphane Goutte & Khaled Guesmi. (2021) Equity-commodity contagion during four recent crises: Evidence from the USA, Europe and the BRICS. International Review of Economics & Finance 76, pages 376-423.
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ARTHUR JIN LIN. (2021) VOLATILITY CONTAGION AMONG STOCK, CURRENCY, AND BULK SHIPPING MARKET DURING THE CHINA’S STOCK MARKET CRASH CRISIS. The Singapore Economic Review, pages 1-18.
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Kritika Awasthi, Wasim Ahmad, Abdul Rahman & B.V. Phani. (2020) When US sneezes, clichés spread: How do the commodity index funds react then?. Resources Policy 69, pages 101858.
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Chun-Da Chen, Shu-Mei Chiang & Tze-Chin Huang. (2020) The contagion effects of volatility indices across the U.S. and Europe. The North American Journal of Economics and Finance 54, pages 101234.
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Bartosz Łamasz & Natalia Iwaszczuk. (2020) The Impact of Implied Volatility Fluctuations on Vertical Spread Option Strategies: The Case of WTI Crude Oil Market. Energies 13:20, pages 5323.
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Arthur J. Lin & Hai-Yen Chang. (2020) Volatility Transmission from Equity, Bulk Shipping, and Commodity Markets to Oil ETF and Energy Fund—A GARCH-MIDAS Model. Mathematics 8:9, pages 1534.
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Sun-Yong Choi & Changsoo Hong. (2020) Relationship between uncertainty in the oil and stock markets before and after the shale gas revolution: Evidence from the OVX, VIX, and VKOSPI volatility indices. PLOS ONE 15:5, pages e0232508.
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Arthur J. Lin, Hai Yen Chang & Jung Lieh Hsiao. (2019) Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?. Transportation Research Part E: Logistics and Transportation Review 127, pages 265-283.
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Dimitris Kenourgios. (2014) On financial contagion and implied market volatility. International Review of Financial Analysis 34, pages 21-30.
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Stephane Goutte, Khaled Guesmi, Marjène Rabah Gana & Ahmed AYADI. (2021) Equity-Commodity Contagion During Four Recent Crises: Evidence from the USA, Europe and the BRICS. SSRN Electronic Journal.
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