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How does oil price volatility affect non-energy commodity markets? · Study

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ArticleHow does oil price volatility affect non-energy commodity markets?

Qiang Ji2011

Article2011

How does oil price volatility affect non-energy commodity markets?

Qiang Ji · Ying Fan

330 citations·0/0 files stored·Applied Energy

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Market Dynamics and Volatility Economics of Agriculture and Food Markets Financial Risk and Volatility Modeling

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1992ARCH modeling in finance 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 2001Oil price shocks, stock market, economic activity and employment in Greece 1990The Excess Co-Movement of Commodity Prices 1995Asymmetric volatility transmission in international stock markets 2009Dynamics of oil price, precious metal prices, and exchange rate 2007Oil spills on other commodities

Cited by

2018Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model 2014Dynamic spillovers among major energy and cereal commodity prices 2014Oil price shocks and agricultural commodity prices 2015Dynamic spillovers between commodity and currency markets 2020Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China 2019

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Details

Year2011

Typearticle

Published2011-08-25

VenueApplied Energy

ISSN-L0306-2619

Languageen

Citations330

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.apenergy.2011.07.038

openalex_workW2004173611

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