Financialization, Crisis and Commodity Correlation Dynamics

Preprint OPEN
Annastiina Silvennoinen; Susan Thorp;
(2010)
  • Subject: commodity futures; double smooth transition; conditional correlation; financialization
    • jel: jel:C22 | jel:G01 | jel:G11

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... View more
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