Title:Impact of speculation and economic uncertainty on commodity markets Author(s):ANDREASSON, Pierre; BEKIROS, Stelios D.; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2016Citation:
- International review of financial analysis, 2016, Vol. 43, pp. 115-127
Type:ArticleAbstract:We examine the interactions between commodity futures returns and five driving factors (financial speculation, exchange rate, stock market dynamics, implied volatility for the US equity market, and economic policy uncertainty). ...
Title:On the time scale behavior of equity-commodity links : implications for portfolio management Author(s):BEKIROS, Stelios D.; KHUONG NGUYEN, Duc; UDDIN, Gazi Salah; SJÖ, BoDate:2016Citation:
- Journal of international financial markets, institutions and money, 2016, Vol. 41, pp. 30–46
Type:ArticleAbstract:We investigate the time-scale relationships between US equity and commodity markets. The empirical evidence from the risk-return profitability analysis based on the wavelet coherence measure shows that equity and commodity ...
Title:Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets Author(s):BEKIROS, Stelios D.; SANDOVAL, Leonidas Junior; NGUYEN, Duc Khuong; UDDIN, Gazi SalahDate:2016Citation:
- European journal of operational research, 2016, Vol. 256, No. 3, pp. 945-961
Type:ArticleAbstract:This paper investigates the dynamic causal linkages among U.S. equity and commodity futures markets via the utilization of complex network theory. We make use of rolling estimations of extended matrices and time-varying ...