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ArticleSpillovers from oil to precious metals: Quantile approaches

Syed Jawad Hussain Shahzad2018

Article2018

Spillovers from oil to precious metals: Quantile approaches

Syed Jawad Hussain Shahzad · Mobeen Ur Rehman · Rania Jammazi

92 citations·0/0 files stored·Resources Policy

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

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1992Testing the null hypothesis of stationarity against the alternative of a unit root 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold 2010Is gold a safe haven? International evidence 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets 2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management

Cited by

2022COVID-19 and the quantile connectedness between energy and metal markets 2019Energy and non-energy commodities: An asymmetric approach towards portfolio diversification in the commodity market 2021How does economic policy uncertainty connect with the dynamic spillovers between precious metals and bitcoin markets?2020Spillovers and co-movements between precious metals and energy markets: Implications on portfolio management

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2019Exploring the time and frequency domain connectedness of oil prices and metal pricesarticle · 11 shared references 2020Spillovers and co-movements between precious metals and energy markets: Implications on portfolio managementarticle · 10 shared references 2018The effects of uncertainty measures on the price of goldarticle · 9 shared references 2020Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula modelarticle · 9 shared references 2014On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision treearticle · 9 shared references 2021Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implicationsarticle · 9 shared references

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Year2018

Typearticle

Published2018-05-10

VenueResources Policy

ISSN-L0301-4207

Languageen

Citations92

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.resourpol.2018.05.002

openalex_workW2802313192

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2018

Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests

2020Does oil price have similar effects on the exchange rates of BRICS?

2020Time-varying volatility spillovers between oil prices and precious metal prices

2022Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data