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How does oil price volatility affect non-energy commodity markets?
14 references·16 citing·36 second hop
How does oil price volatility affect non-energy commodity markets? (2011)How does oil price volatility affect non-…World oil prices and agricultural commodity prices: Evidence from an emerging market (2010)World oil prices and agricult…Modelling the impact of oil prices on Vietnam’s stock prices (2009)Modelling the impact of oil p…Dynamics of oil price, precious metal prices, and exchange rate (2009)Dynamics of oil price, precio…Spillover effect of US dollar exchange rate on oil prices (2008)Spillover effect of US dollar…Oil spills on other commodities (2007)Oil spills on other commoditi…Metal volatility in presence of oil and interest rate shocks (2007)Metal volatility in presence …Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Shock and volatility transmission in the oil, US and Gulf equity markets (2005)Shock and volatility transmis…Oil price shocks, stock market, economic activity and employment in Greece (2001)Oil price shocks, stock marke…Price and volatility spillovers in Scandinavian stock markets (1997)Price and volatility spillove…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Excess Co-Movement of Commodity Prices (1990)The Excess Co-Movement of Com…Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China (2020)Volatility transmissions acro…Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals (2019)Time-frequency causality and …Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1 (2019)Exploring the time-frequency …Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture (2019)Dynamics of volatility spillo…Asymmetric and extreme influence of energy price changes on renewable energy stock performance (2019)Asymmetric and extreme influe…Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model (2018)Risk spillover between energy…Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model (2018)Risk dependence of CoVaR and …Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data (2018)Oil price volatility and econ…High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets (2018)High-frequency volatility con…How is Volatility in Commodity Markets Linked to Oil Price Shocks? (2015)How is Volatility in Commodit…Dynamic spillovers between commodity and currency markets (2015)Dynamic spillovers between co…Oil price volatility and oil-related events: An Internet concern study perspective (2014)Oil price volatility and oil-…Oil price shocks and agricultural commodity prices (2014)Oil price shocks and agricult…Dynamic spillovers among major energy and cereal commodity prices (2014)Dynamic spillovers among majo…How does oil market uncertainty interact with other markets? An empirical analysis of implied volatility index (2013)How does oil market uncertain…Commodity futures and market efficiency (2013)Commodity futures and market …The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Bounds testing approaches to the analysis of level relationships (2001)Is gold a hedge or safe haven against oil price movements? (2013)Dynamic linkages among oil price, gold price, exchange rate, and stock market in India (2016)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Expected stock returns and volatility (1987)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)COVID-19 and stock market volatility: An industry level analysis (2020)Multivariate Simultaneous Generalized ARCH (1995)Volatility transmission between oil prices and equity sector returns (2009)Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment (2010)Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries (2012)Statistical analysis of cointegration vectors (1988)Wavelet-based evidence of the impact of oil prices on stock returns (2013)Crude oil prices and clean energy stock indices: Lagged and asymmetric effects with quantile regression (2020)Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results (2020)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Do structural oil-market shocks affect stock prices? (2009)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Oil prices, exchange rates and emerging stock markets (2011)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Food price volatility (2010)Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis (2011)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)
this work references cited by second hop

References

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  • 1992ARCH modeling in finance4,288 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
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  • 2007Oil spills on other commodities454 cited
  • 2005Shock and volatility transmission in the oil, US and Gulf equity markets417 cited
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  • 2008Spillover effect of US dollar exchange rate on oil prices368 cited
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Cited by

  • 2018Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model

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278 cited
  • 2014Dynamic spillovers among major energy and cereal commodity prices253 cited
  • 2014Oil price shocks and agricultural commodity prices251 cited
  • 2015Dynamic spillovers between commodity and currency markets240 cited
  • 2020Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China239 cited
  • 2019Asymmetric and extreme influence of energy price changes on renewable energy stock performance238 cited
  • 2014Oil price volatility and oil-related events: An Internet concern study perspective237 cited
  • 2018Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data225 cited
  • 2013How does oil market uncertainty interact with other markets? An empirical analysis of implied volatility index220 cited
  • 2018High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets219 cited
  • 2013Commodity futures and market efficiency194 cited
  • 2019Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals188 cited
  • 2019Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture184 cited
  • 2015How is Volatility in Commodity Markets Linked to Oil Price Shocks?182 cited
  • 2018Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model177 cited
  • 2019Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1136 cited