Financialization, Crisis and Commodity Correlation Dynamics

@inproceedings{Silvennoinen2010FinancializationCA,
  title={Financialization, Crisis and Commodity Correlation Dynamics},
  author={Annastiina Silvennoinen and S. Thorp},
  year={2010}
}
  • Annastiina Silvennoinen, S. Thorp
  • Published 2010
  • Economics
  • We study bi-variate conditional volatility and correlation dynamics for individual commodity futures and financial assets from May 1990-July 2009 using DSTCC-GARCH (Silvennoinen and Terasvirta 2009). These models allow correlation to vary smoothly between extreme states via transition functions driven by indicators of market conditions. Expected stock volatility and money manager open interest in futures markets are relevant transition variables. Results point to increasing integration between… CONTINUE READING

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