Andrew Vivian

TL;DR: This paper examined whether there are structural breaks in commodity spot return volatility using an iterative cumulative sum of squares procedure and then used GARCH (1,1) to model volatility during each regime.

TL;DR: In this paper, the authors examined the relationship between the energy and equity markets by estimating volatility impulse response functions from a multivariate BEKK model of the Goldman Sach's Energy Index and the SP in addition, they also calculate the time varying conditional correlations and time varying dynamic hedge ratios.

TL;DR: In this article, the authors quantify and systematically analyze how the European carbon market connects with information from a wide range of other markets and find that the nature of information spillover changes over time, with systemwide return connectedness being higher and more variable than the volatility interdependence.

TL;DR: In this article, the authors build on the recent debate on the in-sample and out-of-sample predictability of US aggregate returns using a wide range of predictors by providing new evidence for smaller and less market-oriented European countries.

TL;DR: In this paper, the authors evaluate whether commodities are effective hedges for equity holders and conclude that they are not effective hedge for the S&P 500, and that they do not support the claim that commodities were a good hedge for stock market during the financial crisis.