| ID | 097339 |
| Title Proper | Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment |
| Language | ENG |
| Author | Choi, Kyongwook ; Hammoudeh, Shawkat |
| Publication | 2010. |
| Summary / Abstract (Note) | This study supplements previous regime-switching studies on WTI crude oil and finds two possible volatility regimes for the strategic commodity prices of Brent oil, WTI oil, copper, gold and silver, and the S&P 500 index, but with varying high-to-low volatility ratios. The dynamic conditional correlations (DCCs) indicate increasing correlations among all the commodities since the 2003 Iraq war but decreasing correlations with the S&P 500 index. The commodities also show different volatility persistence responses to financial and geopolitical crises, while the S&P 500 index responds to both financial and geopolitical crises. Implications are discussed. |
| `In' analytical Note | Energy Policy Vol. 38, No. 8; Aug 2010: p.4388-4399 |
| Journal Source | Energy Policy Vol. 38, No. 8; Aug 2010: p.4388-4399 |
| Key Words | Commodities ; Volatility ; Regime Switching |