How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2019.101350
Abstract: Abstract Based on the GARCH Copula-CoVaR model, this paper explores the behavior of sovereign CDS spreads under extreme oil price movements by taking G7 and BRICS countries as examples. We reveal that the upside/downside CoVaR… read more here.
Keywords: brics countries; extreme oil; price movements; oil price ... See more keywords
Determinants of gold price movements: An empirical investigation in the presence of multiple structural breaks
Sign Up to like & getrecommendations! Published in 2020 at "Resources Policy"
DOI: 10.1016/j.resourpol.2020.101818
Abstract: Abstract This study investigates the short- and long-run determinants of gold price movements in financial markets by taking into account multiple structural breakpoints using an ARDL-based error correction approach. The study used daily time series… read more here.
Keywords: gold price; multiple structural; price movements; determinants gold ... See more keywords
El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements
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DOI: 10.3390/su13147987
Abstract: We use the heterogenous autoregressive (HAR) model to compute out-of-sample forecasts of the monthly realized variance (RV) of movements of the spot and futures price of heating oil. We extend the HAR–RV model to include… read more here.
Keywords: variance; price movements; realized variance; model ... See more keywords