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Dynamic connectedness and portfolio strategies: Energy and metal markets
16 references·5 citing·32 second hop
Dynamic connectedness and portfolio strategies: Energy and metal markets (2020)Dynamic connectedness and portfolio strat…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…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…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Oil and the Stock Markets (1996)Oil and the Stock MarketsImpulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak (2022)The time-frequency connectedn…Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors (2022)Dynamic risk spillover among …Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19 (2022)Can treasury inflation-protec…Time and frequency dynamics of connectedness and hedging performance in global stock markets: Bitcoin versus conventional hedges (2021)Time and frequency dynamics o…Volatility Connectedness between Clean Energy Firms and Crude Oil in the COVID-19 Era (2020)Volatility Connectedness betw…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)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Macroeconomics and Reality (1980)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Oil prices, US stock return, and the dependence between their quantiles (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Oil and the Macroeconomy since World War II (1983)Energy shocks and financial markets (1996)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)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)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 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
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2006Facts and Fantasies about Commodity Futures

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1,389 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • Cited by

    • 2022The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak86 cited
    • 2020Volatility Connectedness between Clean Energy Firms and Crude Oil in the COVID-19 Era82 cited
    • 2021Time and frequency dynamics of connectedness and hedging performance in global stock markets: Bitcoin versus conventional hedges81 cited
    • 2022Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors80 cited
    • 2022Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-1934 cited