DOI: 10.4236/ajibm.2020.102027
View full text |Buy / Rent full text
Sign up to set email alerts

Abstract: We employ the framework of (Antonakakis & Gabauer, 2017) to study the nature of the volatility transmission among stocks, bonds, oil and gold over the past 100 years (1915-2015). The results indicate that asset market linkages and the role of volatility transmitter or receiver vary considerably over time. We observe a stronger net volatility transmitter of crude oil during the past 100 years and gold acts as a net volatility transmitter only before the 1970s. Moreover, stock is generally the most connected ass… Show more

Help me understand this report

This publication either has no citations yet, or we are still processing them

Set email alert for when this publication receives citations?

See others like this or search for similar articles