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From Fields to Finance: Dynamic Connectedness and Optimal Portfolio Strategies Among Agricultural Commodities, Oil, and Stock Markets

In this study, we investigate the return propagation mechanism, hedging effectiveness, and portfolio performance across several common agricultural commodities, crude oil, and S&P 500 index, ranging from July 2000 to June 2024 by using a time-varying parameter vector autoregression (TVP-VAR) connect...

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Principais autores: Xuan Tu, David Leatham
Formato: Artigo
Idioma:Inglês
Publicado em: MDPI AG 2025-08-01
coleção:International Journal of Financial Studies
Assuntos:
dynamic connectedness
risk management
portfolio theory
hedging strategy
stock market
agricultural commodities
Acesso em linha:https://www.mdpi.com/2227-7072/13/3/143
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