Volatility transmission between gold and oil futures under structural breaks

Keyphrases

• Volatility 100%
• Structural Breaks 100%
• Volatility Transmission 100%
• Oil Futures 100%
• Gold Futures 100%
• Common Information 50%
• Hedging 50%
• Financial Markets 50%
• Oil Returns 50%
• Market Participants 50%
• Bivariate GARCH 50%
• Cross-market 50%
• Hedge Ratio 50%
• Dynamic Risk 50%
• Risk Minimizing 50%
• Structural Break in Variance 50%
• Portfolio Dynamics 50%
• Univariate GARCH 50%
• Optimal Portfolio Weights 50%
• Gold Returns 50%
• Daily Returns 50%

Economics, Econometrics and Finance

• Volatility 100%
• Hedging 33%
• Financial Market 33%
• ARCH Model 33%