SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops
16 references·4 citing·34 second hop
Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops (2019)Correlation dynamics of crude oil with ag…Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Hedging emerging market stock…Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Correlations and volatility s…Volatility spillover between oil and agricultural commodity markets (2012)Volatility spillover between …Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Speculation and volatility sp…Index Funds, Financialization, and Commodity Futures Markets (2011)Index Funds, Financialization…Index 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 …The Economic Effects of Energy Price Shocks (2008)The Economic Effects of Energ…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…The Excess Co-Movement of Commodity Prices (1990)The Excess Co-Movement of Com…Market Volatility Spillover, Network Diffusion, and Financial Systemic Risk Management: Financial Modeling and Empirical Study (2023)Market Volatility Spillover, …The U.S.–China Trade War and the Volatility Linkages between Energy and Agricultural Commodities (2022)The U.S.–China Trade War and …Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises (2021)Intersectoral systemic risk s…Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks (2021)Connectedness between energy …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Modeling Asymmetric Comovements of Asset Returns (1998)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)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)Oil and the Macroeconomy since World War II (1983)What is an Oil Shock? (2000)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Causes and Consequences of the Oil Shock of 2007-08 (2009)What do we learn from the price of crude oil futures? (2010)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Oil prices, exchange rates and emerging stock markets (2011)Financialization, crisis and commodity correlation dynamics (2012)
this work references cited by second hop

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2008The Economic Effects of Energy Price Shocks1,299 cited
  • 1990The Excess Co-Movement of Commodity Prices769 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 2013Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold556 cited
  • 2011Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis550 cited
  • 2015Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH547 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2012
Volatility spillover between oil and agricultural commodity markets
539 cited
  • 2011Index Funds, Financialization, and Commodity Futures Markets488 cited
  • Cited by

    • 2022The U.S.–China Trade War and the Volatility Linkages between Energy and Agricultural Commodities77 cited
    • 2021Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks60 cited
    • 2021Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises59 cited
    • 2023Market Volatility Spillover, Network Diffusion, and Financial Systemic Risk Management: Financial Modeling and Empirical Study19 cited