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Assessing contagion risk from energy and non-energy commodity markets
16 references·8 citing·46 second hop
Assessing contagion risk from energy and non-energy commodity markets (2017)Assessing contagion risk from energy and …SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A conditional capital …CoVaR (2016)CoVaRFinancialization of Commodity Markets (2013)Financialization of Commodity…What does futures market interest tell us about the macroeconomy and asset prices? (2012)What does futures market inte…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks (2012)Capital Shortfall: A New Appr…A Survey of Systemic Risk Analytics (2012)A Survey of Systemic Risk Ana…Measuring Systemic Risk (2010)Measuring Systemic RiskIndex Investment and Financialization of Commodities (2010)Index Investment and Financia…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Carbon futures and macroeconomic risk factors: A view from the EU ETS (2009)Carbon futures and macroecono…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…Sources of risk and expected returns in global equity markets (1994)Sources of risk and expected …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets (2023)GARCH-MIDAS-GAS-copula model …The U.S.–China Trade War and the Volatility Linkages between Energy and Agricultural Commodities (2022)The U.S.–China Trade War and …Revisiting the valuable roles of commodities for international stock markets (2020)Revisiting the valuable roles…Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression (2020)Heterogeneous dependence betw…New Challenge and Research Development in Global Energy Financialization (2019)New Challenge and Research De…Energy and non-energy commodities: An asymmetric approach towards portfolio diversification in the commodity market (2019)Energy and non-energy commodi…Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes (2018)Sectoral dynamics of financia…Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets (2018)Multivariate dependence and s…Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)The Fundamentals of Commodity Futures Returns (2012)Momentum crashes (2016)Estimating betas from nonsynchronous data (1977)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation, Loanable Funds, and The Real Sector (1997)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Where the Risks Lie: A Survey on Systemic Risk (2015)Estimating global bank network connectedness (2017)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Limited-dependent and qualitative variables in econometrics (1983)Extreme Correlation of International Equity Markets (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)The subprime credit crisis and contagion in financial markets (2010)Capital flows, push versus pull factors and the global financial crisis (2012)Financial Contagion (2000)Emerging markets finance (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Measuring financial contagion: A Copula approach (2007)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Credit Cycles (1997)Dynamic Conditional Correlation (2002)Conditional Tail-Risk in Cryptocurrency Markets (2018)The Limits of Arbitrage (1995)Market Liquidity and Funding Liquidity (2008)New Evidence on the Financialization of Commodity Markets (2014)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Extrapolation and bubbles (2018)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)
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References

  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 2016CoVaR2,395 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2017SRISK: A conditional capital shortfall measure of systemic risk1,318 cited
  • 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks1,157 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 2013Financialization of Commodity Markets808 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 2012A Survey of Systemic Risk Analytics716 cited
  • 2010Measuring Systemic Risk432 cited
  • 2012What does futures market interest tell us about the macroeconomy and asset prices?411 cited
  • 2009Carbon futures and macroeconomic risk factors: A view from the EU ETS410 cited
  • 1994

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Sources of risk and expected returns in global equity markets
331 cited

Cited by

  • 2018Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets121 cited
  • 2020Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression100 cited
  • 2020Revisiting the valuable roles of commodities for international stock markets97 cited
  • 2019Energy and non-energy commodities: An asymmetric approach towards portfolio diversification in the commodity market83 cited
  • 2022The U.S.–China Trade War and the Volatility Linkages between Energy and Agricultural Commodities77 cited
  • 2018Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes37 cited
  • 2019New Challenge and Research Development in Global Energy Financialization30 cited
  • 2023GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets28 cited