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Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets

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References

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2009Rolling over stock index futures contracts96 cited

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2016Spillovers between food and energy prices and structural breaks106 cited
2014Economic spillovers between related derivatives markets: The case of commodity and freight markets97 cited
2017On the link between oil and agricultural commodity prices: Do biofuels matter?92 cited

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2016

Commodity markets volatility transmission: Roles of risk perceptions and uncertainty in financial markets

88 cited

2020Does Bitcoin still own the dominant power? An intraday analysis65 cited

2019Volatility spillovers for spot, futures, and ETF prices in agriculture and energy47 cited

2013The Behavior of Bid‐Ask Spreads in the Electronically‐Traded Corn Futures Market45 cited

2018Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice43 cited

2016Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets40 cited

2020Magnitude and persistence of extreme risk spillovers in the global energy market: A high-dimensional left-tail interdependence perspective33 cited

2017Modeling regime‐dependent agricultural commodity price volatilities30 cited