Financialization, Crisis and Commodity Correlation Dynamics

  title={Financialization, Crisis and Commodity Correlation Dynamics},
  author={Annastiina Silvennoinen and S. Thorp},
  • 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

    Figures and Tables from this paper.

    On the links between stock and commodity markets' volatility
    • 287
    • Open Access


    Publications referenced by this paper.
    Time-varying risk premia and forecastable returns in futures markets
    • 207
    Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets
    • 458
    Hedging Pressure Effects in Futures Markets
    • 402
    • Open Access