The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications
Kousik Guhathakurta and
Sang Hoon Kang
Energy Economics, 2021, vol. 94, issue C
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.
Keywords: Oil price; Commodity prices; Asymmetric volatility spillover; Portfolio implications (search for similar items in EconPapers)
JEL-codes: E52 E62 Q41 Q43 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304011
Access Statistics for this article
Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant
More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().