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Spillovers from oil to precious metals: Quantile approaches
16 references·16 citing·43 second hopsampled
Spillovers from oil to precious metals: Quantile approaches (2018)Spillovers from oil to precious metals: Q…The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)The cross-quantilogram: Measu…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…VAR for VaR: Measuring tail dependence using multivariate regression quantiles (2015)VAR for VaR: Measuring tail d…Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Is gold a safe haven or a hed…The crude oil market and the gold market: Evidence for cointegration, causality and price discovery (2010)The crude oil market and the …Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…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…Forecasting volatility of crude oil markets (2008)Forecasting volatility of cru…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 …Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Gold and Gold Stocks as Investments for Institutional Portfolios (1989)Gold and Gold Stocks as Inves…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data (2022)Do oil, gold and metallic pri…COVID-19 and the quantile connectedness between energy and metal markets (2022)COVID-19 and the quantile con…Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic (2021)Price and volatility spillove…Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis (2021)Oil and precious metals: Vola…Multiscale spillovers and connectedness between gold, copper, oil, wheat and currency markets (2021)Multiscale spillovers and con…Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak (2021)Information transmission and …How does economic policy uncertainty connect with the dynamic spillovers between precious metals and bitcoin markets? (2021)How does economic policy unce…Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension (2021)Economic policy uncertainty a…Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects? (2021)Economic policy uncertainty a…Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework (2021)Do oil prices and economic po…Time-varying volatility spillovers between oil prices and precious metal prices (2020)Time-varying volatility spill…Spillovers and co-movements between precious metals and energy markets: Implications on portfolio management (2020)Spillovers and co-movements b…Energy commodities, precious metals and industrial metal markets: A nexus across different investment horizons and market conditions (2020)Energy commodities, precious …Does oil price have similar effects on the exchange rates of BRICS? (2020)Does oil price have similar e…Energy and non-energy commodities: An asymmetric approach towards portfolio diversification in the commodity market (2019)Energy and non-energy commodi…Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests (2018)Determining the predictive po…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)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)A long memory property of stock market returns and a new model (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Introduction to Copulas (1999)Do global factors impact BRICS stock markets? A quantile regression approach (2014)Does gold act as a hedge or a safe haven for stocks? A smooth transition approach (2014)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)The Behavior of Stock-Market Prices (1965)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The Econometrics of Financial Markets (2012)An analysis of the literature on systemic financial risk: A survey (2016)Frequency Connectedness and Cross-quantile Dependence Between Green Bond and Green Equity Markets (2020)Searching for safe-haven assets during the COVID-19 pandemic (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021)Geopolitical risk and dynamic connectedness between commodity markets (2022)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A CNN–LSTM model for gold price time-series forecasting (2020)Food price volatility (2010)Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis (2011)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series553 cited
  • 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management515 cited
  • 2009Dynamics of oil price, precious metal prices, and exchange rate504 cited
  • 2007Oil spills on other commodities454 cited
  • 2010The crude oil market and the gold market: Evidence for cointegration, causality and price discovery405 cited
  • 2009Modelling the impact of oil prices on Vietnam’s stock prices385 cited
  • 2015VAR for VaR: Measuring tail dependence using multivariate regression quantiles383 cited
  • 2008Forecasting volatility of crude oil markets367 cited

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2007
Metal volatility in presence of oil and interest rate shocks
350 cited
  • 1989Gold and Gold Stocks as Investments for Institutional Portfolios335 cited
  • Cited by

    • 2022COVID-19 and the quantile connectedness between energy and metal markets89 cited
    • 2019Energy and non-energy commodities: An asymmetric approach towards portfolio diversification in the commodity market83 cited
    • 2021How does economic policy uncertainty connect with the dynamic spillovers between precious metals and bitcoin markets?83 cited
    • 2020Spillovers and co-movements between precious metals and energy markets: Implications on portfolio management82 cited
    • 2018Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests81 cited
    • 2020Does oil price have similar effects on the exchange rates of BRICS?80 cited
    • 2020Time-varying volatility spillovers between oil prices and precious metal prices80 cited
    • 2022Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data74 cited
    • 2021Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic73 cited
    • 2021Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?71 cited
    • 2021Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak67 cited
    • 2021Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework66 cited
    • 2020Energy commodities, precious metals and industrial metal markets: A nexus across different investment horizons and market conditions65 cited
    • 2021Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension63 cited
    • 2021Multiscale spillovers and connectedness between gold, copper, oil, wheat and currency markets62 cited
    • 2021Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis62 cited