When Oil Volatility Infects Everything Else
Commodities: Markets, Performance, and Strategies
Editors: H. Kent Baker, Gregory Filbeck, Jeffrey H. Harris
ISBN: 9780190656010
After 2008, everyone wanted to know if a shock in oil would spread to corn, copper, or gold. Frankie Chau and Rataporn Deesomsak build a tool to measure exactly that: the Commodity Volatility Spillover Index (CVSI).