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Energy, precious metals, and GCC stock markets: Is there any risk spillover?
16 references·16 citing·37 second hopsampled
Energy, precious metals, and GCC stock markets: Is there any risk spillover? (2019)Energy, precious metals, and GCC stock ma…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…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…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Sailing towards sustainability: Connectedness between ESG stocks and green cryptocurrencies (2025)Sailing towards sustainabilit…Volatility spillovers and frequency dependence between oil price shocks and green stock markets (2023)Volatility spillovers and fre…Sectoral risk contagion and quantile network connectedness on Chinese stock sectors after the COVID-19 outbreak (2023)Sectoral risk contagion and q…Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict (2023)Higher-order moment risk conn…Time-varying spillover effects and investment strategies between WTI crude oil, natural gas and Chinese stock markets related to belt and road initiative (2022)Time-varying spillover effect…Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications (2022)Time-frequency spillovers and…Dynamic connectedness and optimal hedging strategy among commodities and financial indices (2022)Dynamic connectedness and opt…Time-frequency information transmission among financial markets: evidence from implied volatility (2021)Time-frequency information tr…The safe-haven property of precious metal commodities in the COVID-19 era (2021)The safe-haven property of pr…Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach (2021)Tail risk connectedness in th…Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak (2021)Risk spillover from crude oil…Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications (2021)Modeling the frequency dynami…Financial connectedness of GCC emerging stock markets (2021)Financial connectedness of GC…Spillovers and co-movements between precious metals and energy markets: Implications on portfolio management (2020)Spillovers and co-movements b…Impact of the novel coronavirus on stock market returns: evidence from GCC countries (2020)Impact of the novel coronavir…Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives (2020)Dynamic dependence and risk c…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Emerging equity market volatility (1997)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)The robustness of identified VAR conclusions about money (1998)Judgment Under Uncertainty: Heuristics and Biases. 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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2001Extreme Correlation of International Equity Markets2,608 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
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets

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896 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • Cited by

    • 2023Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict119 cited
    • 2022Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications118 cited
    • 2022Time-varying spillover effects and investment strategies between WTI crude oil, natural gas and Chinese stock markets related to belt and road initiative114 cited
    • 2021Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak113 cited
    • 2020Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives105 cited
    • 2020Impact of the novel coronavirus on stock market returns: evidence from GCC countries104 cited
    • 2021Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach101 cited
    • 2021The safe-haven property of precious metal commodities in the COVID-19 era95 cited
    • 2020Spillovers and co-movements between precious metals and energy markets: Implications on portfolio management82 cited
    • 2021Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications78 cited
    • 2023Volatility spillovers and frequency dependence between oil price shocks and green stock markets75 cited
    • 2021Financial connectedness of GCC emerging stock markets39 cited
    • 2021Time-frequency information transmission among financial markets: evidence from implied volatility37 cited
    • 2025Sailing towards sustainability: Connectedness between ESG stocks and green cryptocurrencies34 cited
    • 2023Sectoral risk contagion and quantile network connectedness on Chinese stock sectors after the COVID-19 outbreak30 cited
    • 2022Dynamic connectedness and optimal hedging strategy among commodities and financial indices29 cited