Geopolitical risk and dynamic connectedness between commodity markets
X Gong, J Xu - Energy Economics, 2022 - Elsevier
In this paper, we use the improved Diebold & Yilmaz method based on TVP-VAR-SV model
to analyze dynamic connectedness between energy, precious metal, industrial metal …
to analyze dynamic connectedness between energy, precious metal, industrial metal …
Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities
With many studies highlighting the heterogeneous impact of the COVID-19 pandemic on
different commodity markets, this study provides evidence of quantile connectedness …
different commodity markets, this study provides evidence of quantile connectedness …
Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach
This study introduces a novel time-varying parameter vector autoregression (TVP-VAR)
based extended joint connectedness approach in order to characterize connectedness of 11 …
based extended joint connectedness approach in order to characterize connectedness of 11 …
Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 …
J Cui, A Maghyereh - International Review of Financial Analysis, 2023 - Elsevier
This paper investigates the higher-order moment risk connectedness between West Texas
Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures and commodity futures …
Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures and commodity futures …
[HTML][HTML] Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets
We analyze return and volatility connectedness of the rising green asset and the well-
established US industry stock and commodity markets from September 2010 to July 2021 …
established US industry stock and commodity markets from September 2010 to July 2021 …
[HTML][HTML] Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic
In this study, we present the evidence of dramatic changes in the structure and time-varying
patterns of volatility connectedness across equities and major commodities (oil, gold, silver …
patterns of volatility connectedness across equities and major commodities (oil, gold, silver …
Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?
Using the spillover index approach and its variants, we examine both static and dynamic
volatility connectedness among eight typical cryptocurrencies. The results reveal that their …
volatility connectedness among eight typical cryptocurrencies. The results reveal that their …
COVID-19 and the quantile connectedness between energy and metal markets
This study analyzes the relationship between clean and dirty energy sources and energy
metals during the COVID-19 pandemic. We document a sharp increase in connectedness …
metals during the COVID-19 pandemic. We document a sharp increase in connectedness …
Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals
This study analyzes the lead-lag relationship between the price indices of energy fuels and
each of food, industrial inputs, agriculture raw materials, metals and beverages in the time …
each of food, industrial inputs, agriculture raw materials, metals and beverages in the time …
Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications
This paper examines the safe-haven and hedging potential of oil and gold against industrial
metals and agricultural commodities using a novel approach of quantile-on-quantile …
metals and agricultural commodities using a novel approach of quantile-on-quantile …