Time dynamics of connectedness between commodity convenience yields and zero-coupon inflation swap rates

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dc.authoridBilgin, Mehmet Huseyin/0000-0002-9897-9792|Ozturk, Serda Selin/0000-0003-2758-9321
dc.authorwosidBilgin, Mehmet Huseyin/K-6487-2017
dc.contributor.authorAybar, Okan
dc.contributor.authorBilgin, Mehmet Huseyin
dc.contributor.authorOzturk, Serda Selin
dc.date.accessioned2024-07-18T20:45:11Z
dc.date.available2024-07-18T20:45:11Z
dc.date.issued2020
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractGlobalisation and financial liberalisation have made financial markets more correlated and connected. In this context, it has become extremely important to understand the connectedness and correlation among different financial markets and commodities. This paper attempts to extend applicable empirical studies by examining the connectedness between volatilities of commodity convenience yields and zero-coupon inflation swap rates. We conduct our study by using both the spillover index methodology provided by Diebold and Yilmaz (2009,2012) as well as Barunik and Krehlik's (2018) methodology to decompose the index to its frequencies for short-, medium and long-term dynamics. Although, empirical results based on Diebold and Yilmaz's (2012) methodology show that high total connectedness exists between the variables for the whole time period, our results based on Barunik and Krehlik's (2018) approach shows that this connectedness exists only in the long-term. The results also indicate that the connectedness dynamics change when the effect of cross-correlations is considered.en_US
dc.identifier.doi10.1080/10293523.2020.1794309
dc.identifier.endpage302en_US
dc.identifier.issn1029-3523
dc.identifier.issn2077-0227
dc.identifier.issue4en_US
dc.identifier.scopus2-s2.0-85089907366en_US
dc.identifier.scopusqualityQ3en_US
dc.identifier.startpage289en_US
dc.identifier.urihttps://doi.org/10.1080/10293523.2020.1794309
dc.identifier.urihttps://hdl.handle.net/11411/7438
dc.identifier.volume49en_US
dc.identifier.wosWOS:000565382700001en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherInvestment Analysts Soc Southern Africaen_US
dc.relation.ispartofInvestment Analysts Journalen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectFrequency Connectednessen_US
dc.subjectSpilloveren_US
dc.subjectConvenience Yielden_US
dc.subjectVolatilityen_US
dc.subjectVolatility Spilloveren_US
dc.subjectMarkets Evidenceen_US
dc.subjectRealized Volatilityen_US
dc.subjectShock Transmissionen_US
dc.subjectCrude-Oilen_US
dc.subjectEnergyen_US
dc.subjectStocken_US
dc.subjectDependenceen_US
dc.subjectFuturesen_US
dc.subjectEquityen_US
dc.titleTime dynamics of connectedness between commodity convenience yields and zero-coupon inflation swap ratesen_US
dc.typeArticleen_US

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