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The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications by Debasish Maitra; Kousik Guhathakurta; Sang Hoon Kang is a Economics, Econometrics and Finance article available to read on EtoBox.

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This study examines the direction and extent of asymmetric volatility connectedness between the oil and commodity markets, using five-minute interval data from the oil, natural gas, and 21 commodity futures markets. We also analyze the positive and negative volatility connectedness through network diagrams to determine the magnitude and strength of the volatility spillover. We suggest optimal portfolios for several oil-commodity pairs minimizing value-at-risk and conditional value-at-risk with higher hedge effectiveness. The results are of significant interest to investors and policymakers.

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Author

Debasish Maitra; Kousik Guhathakurta; Sang Hoon Kang

Publisher

Elsevier Science; Elsevier ; Elsevier BV (ISSN 0140-9883)

Published

2021

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)