Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment

Energy Policy

Volumn 38, Issue 8, 2010, Pages 4388-4399

  Choi, Kyongwook ^a   Hammoudeh, Shawkat ^b  

^a University of Seoul   (South Korea)

^b DREXEL UNIVERSITY   (United States)

Author keywords

Commodities; Regime switching; Volatility

Indexed keywords

COMMODITY PRICES; CONDITIONAL CORRELATION; GOLD AND SILVER; HIGH-TO-LOW; IRAQ WAR; REGIME SWITCHING; STOCK MARKET; VOLATILITY PERSISTENCE;

CRUDE OIL; SILVER; TIME SERIES ANALYSIS;

SWITCHING;

COMMODITY PRICE; COPPER; CRUDE OIL; FINANCIAL CRISIS; GEOPOLITICS; GOLD; SILVER; STOCK MARKET;

EID: 77952807597     PISSN: 03014215     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.enpol.2010.03.067     Document Type: Article

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