Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach

No abstract is available for this paper.

• Publication year

  2023

• Venue

  International Review of Financial Analysis

• Publication date

  2023-07-01

• Fields of study

  Not labeled

• Identifiers
  DOI 10.1016/j.irfa.2023.102743
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Multivariate models of commodity futures markets: a dynamic copula approach

  2023cited by this paper
• Merchants against the bankers: the financialization of a commodity market

  2020cited by this paper
• Financial stress relationships among Euro area countries: an R-vine copula approach

  2018cited by this paper
• A shared identity promotes herding in an information cascade game

  2018cited by this paper
• The impact of aggregate uncertainty on herding in analysts' stock recommendations

  2018cited by this paper
• Investors’ fear and herding in the stock market

  2018cited by this paper
• Modelling the Multivariate Dynamic Dependence Structure of Commodity Futures Portfolios

  2017cited by this paper
• Investment preferences and patient capital: financing, governance, and regulation in pension fund capitalism

  2016cited by this paper
• A Model of Financialization of Commodities

  2015cited by this paper
• Informational Frictions and Commodity Markets

  2015cited by this paper
• The limits to financialization

  2015cited by this paper
• Convective Risk Flows in Commodity Futures Markets

  2015cited by this paper
• Investor Flows and the 2008 Boom/Bust in Oil Prices

  2014cited by this paper
• THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL

  2014cited by this paper
• The Financialization of Commodity Markets

  2014cited by this paper
• Speculators, Commodities and Cross-Market Linkages

  2014cited by this paper
• Effects of Index-Fund Investing on Commodity Futures Prices

  2014cited by this paper
• The financialisation of infrastructure: the role of categorisation and property relations

  2013cited by this paper
• NBER WORKING PAPER SERIES THE SIMPLE ECONOMICS OF COMMODITY PRICE SPECULATION

  2013cited by this paper
• Financialization, Crisis and Commodity Correlation Dynamics

  2013cited by this paper
• Commodity and Equity Markets: Some Stylized Facts from a Copula Approach

  2013cited by this paper
• The Role of Speculation in Oil Markets: What Have We Learned So Far?

  2013cited by this paper
• Index Investment and the Financialization of Commodities

  2012cited by this paper
• Selecting and estimating regular vine copulae and application to financial returns

  2012cited by this paper
• Testing the Masters Hypothesis in Commodity Futures Markets

  2012cited by this paper
• The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency

  2011cited by this paper
• Crashes in Real Estate Prices: Causes and Predictability:

  2010cited by this paper
• An empirical analysis of herd behavior in global stock markets

  2010cited by this paper
• The Dark Side of Global Integration: Increasing Tail Dependence

  2010cited by this paper
• The power of finance: accounting harmonization's effect on pension provision

  2009cited by this paper
• Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust)

  2009cited by this paper
• Causes and Consequences of the Oil Shock of 2007–08

  2009cited by this paper
• Limits to Arbitrage and Hedging: Evidence from Commodity Markets

  2009cited by this paper
• Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market

  2009cited by this paper
• Commodity Index Investing and Commodity Futures Prices

  2009cited by this paper
• The Expansion of the Finance Industry and Its Impact on the Economy: A Territorial Approach Based on Swiss Pension Funds

  2009cited by this paper
• The Pursuit of (Past) Happiness? Middle-class Indebtedness and American Financialisation

  2009cited by this paper
• You have printed the following article : A Theory of Fads , Fashion , Custom , and Cultural Change as Informational Cascades

  2007cited by this paper
• The Strategic and Tactical Value of Commodity Futures

  2006cited by this paper
• Facts and Fantasies about Commodity Futures

  2006cited by this paper
• Market Stress and Herding

  2004cited by this paper
• Tail-dependence in stock-return pairs

  2002cited by this paper
• Style Investing

  2001cited by this paper
• The Nature of Commodity Index Returns

  2000cited by this paper
• Institutional investors and the reproduction of neoliberalism

  1998cited by this paper
• Measuring and Testing the Impact of News on Volatility

  1993cited by this paper
• A Simple Model of Herd Behavior

  1992cited by this paper
• CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH

  1991cited by this paper
• Residual Risk, Trading Costs, and Commodity Futures Risk Premia

  1988cited by this paper
• Expected stock returns and volatility

  1987cited by this paper
• The stochastic behavior of common stock variances: value

  1982cited by this paper
• On the aggregation of information in competitive markets

  1980cited by this paper
• On the Impossibility of Informationally Efficient Markets

  1980cited by this paper
• Fonctions de repartition a n dimensions et leurs marges

  1959cited by this paper
• Some Aspects of the Theory of Futures Trading

  1944cited by this paper
• Commodity Investing

  year unknowncited by this paper
• FEDERAL RESERVE BANK OF ST. LOUIS

  year unknowncited by this paper

• Volatility regimes and jumps in crude oil futures: Uncovering how market shocks trigger extreme comovements

  2026cites this paper
• Bayesian Estimation of R-Vine Copula with Gaussian-Mixture GARCH Margins: An MCMC and Machine Learning Comparison

  2025cites this paper
• Financialization Trends and Climate Policy Uncertainty: Implications for China’s Nonferrous Metal Market

  2025cites this paper
• Stock–Commodity Correlations, Optimal Hedging, and Climate Risks

  2025cites this paper
• Impact of External Shocks on Global Major Stock Market Interdependence: Insights from Vine-Copula Modeling

  2025cites this paper
• Dynamic spillovers of green, brown, and financial industries under the low-carbon transition: Evidence from China

  2024cites this paper
• Does the strength of the US dollar affect the interdependence among currency exchange rates of Regional Comprehensive Economic Partnership (RCEP) and Comprehensive and Progressive Agreement for Trans-Pacific Partnership (CPTPP) countries?

  2024cites this paper
• Can ESG Integration Enhance the Stability of Disruptive Technology Stock Investments? Evidence from Copula-Based Approaches

  2024cites this paper
• Hedging basic materials equity portfolios using gold futures

  2024cites this paper
• Share repurchase and financialization:Evidence from China

  2024cites this paper
• Investigating Dependence Structure Among Subsectors of Technology Stocks: A Vine Copula Approach

  year unknowncites this paper
• Unraveling Financial Interconnections: A Methodical Investigation into the Application of Copula Theory in Modeling Asset Dependence

  year unknowncites this paper