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Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach
16 references·10 citing·51 second hop
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References

  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 2016CoVaR2,395 cited
  • 2015Oil prices, US stock return, and the dependence between their quantiles1,428 cited
  • 2007Transportation Costs and International Trade in the Second Era of Globalization1,300 cited
  • 2004Port efficiency, maritime transport costs, and bilateral trade736 cited
  • 2019A bibliometric analysis on green finance: Current status, development, and future directions669 cited
  • 2012A review of copula models for economic time series587 cited
  • 2012Volatility spillover between oil and agricultural commodity markets539 cited
  • 2017Oil shocks and stock markets revisited: Measuring connectedness from a global perspective382 cited
  • 2018Global financial crisis and rising connectedness in the international commodity markets382 cited
  • 2011How does oil price volatility affect non-energy commodity markets?330 cited
  • 2019Information interdependence among energy, cryptocurrency and major commodity markets303 cited
  • 2019The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets294 cited
  • 2018Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model278 cited

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  • 2011How do crude oil prices co-move?259 cited
  • 2019Asymmetric and extreme influence of energy price changes on renewable energy stock performance238 cited
  • Cited by

    • 2021Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic87 cited
    • 2021Risk spillover from energy market uncertainties to the Chinese carbon market77 cited
    • 2021Connectedness and systemic risk of the banking industry along the Belt and Road47 cited
    • 2021Stock market comovements: Evidence from the COVID-19 pandemic45 cited
    • 2022What drives cross-border spillovers among sovereign CDS, foreign exchange and stock markets?42 cited
    • 2022The extreme risk connectedness of the new financial system: European evidence39 cited
    • 2023Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach39 cited
    • 2022Investor sentiment and the Chinese new energy stock market: A risk–return perspective39 cited
    • 2022Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect34 cited
    • 2023GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets28 cited