Volatility and dynamic correlation in emerging markets: a study om stocks and commodities with implications for the electromobility industry
This in-depth examination analyzes the complex interrelationships and changing dynamics within equity, commodity, and sustainability sectors across developing economies, with a focus on their relevance for the fledgling electromobility industry. The study first evaluates hedging techniques for the L...
| Autor: | |
|---|---|
| Formato: | tesis doctoral |
| Fecha de publicación: | 2026 |
| País: | España |
| Recursos: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | español |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/132115 |
| Acesso em linha: | https://hdl.handle.net/20.500.14352/132115 |
| Access Level: | acceso abierto |
| Palavra-chave: | 330.123.3(043.2) Economía 53 Ciencias Económicas |
| Resumo: | This in-depth examination analyzes the complex interrelationships and changing dynamics within equity, commodity, and sustainability sectors across developing economies, with a focus on their relevance for the fledgling electromobility industry. The study first evaluates hedging techniques for the Latibex index utilizing index futures such as Euro Stoxx 50, S&P 500, Bovespa, and IPC. Results indicate that Bovespa futures offered the strongest hedge during the period studied, underscoring the value of risk-mitigating approaches contingent on conditional moments for emerging market portfolios.Additionally, the paper explores price interactions among key electromobility metals—lithium, cobalt, copper, and nickel. By employing two-dimensThis in-depth examination analyzes the complex interrelationships and changing dynamics within equity, commodity, and sustainability sectors across developing economies, with a focus on their relevance for the fledgling electromobility industry. The study first evaluates hedging techniques for the Latibex index utilizing index futures such as Euro Stoxx 50, S&P 500, Bovespa, and IPC. Results indicate that Bovespa futures offered the strongest hedge during the period studied, underscoring the value of risk-mitigating approaches contingent on conditional moments for emerging market portfolios.Additionally, the paper explores price interactions among key electromobility metals—lithium, cobalt, copper, and nickel. By employing two-dimensional copula and VAR(2)-BEKK(1,1)-asymmetric econometric models, the analysis detected meaningful volatility transmissions between the commodities. A notably asymmetric relationship between surging lithium and fluctuating copper emerged. Dynamic correlations unveiled considerable instability reflective of shifting global economic tides, emphasizing the need for ongoing surveillance to refine investment tactics and craft responsive policies...ional copula and VAR(2)-BEKK(1,1)-asymmetric econometric models, the analysis detected meaningful volatility transmissions between the commodities. A notably asymmetric relationship between surging lithium and fluctuating copper emerged. Dynamic correlations unveiled considerable instability reflective of shifting global economic tides, emphasizing the need for ongoing surveillance to refine investment tactics and craft responsive policies... |
|---|