SStudyAcademic Library

Shelves Open access My library Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The realized volatility of commodity futures: Interconnectedness and determinants · Study

Home/Market Dynamics and Volatility

The realized volatility of commodity futures: Interconnectedness and determinants

Elie I. Bouri, Brian M. Lucey, Tareq Saeed, Xuan Vinh Vo

2021-01-13articleInternational Review of Economics & Finance156 citationsclosed

No readable copy stored yet — this record is metadata only.

Market Dynamics and Volatility Economics of Agriculture and Food Markets Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Citations in this library

Stored only when both papers are in the corpus — 156 citations exist upstream.

References

2016Measuring Economic Policy Uncertainty*

2014On the network topology of variance decompositions: Measuring the connectedness of financial firms

1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

2015Measuring Uncertainty

2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions

2020Return connectedness across asset classes around the COVID-19 outbreak

2012Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

2010Can Exchange Rates Forecast Commodity Prices? *

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 conflict

2022Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness

2022Value investing versus other investment strategies: A volatility spillover approach and portfolio hedging strategies for investors

2023Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach

Details

Year2021

Typearticle

VenueInternational Review of Economics & Finance

Languageen

Files0 public / 0

Identifiers

doi10.1016/j.iref.2021.01.006

openalex_workW3119989519

Links

Imported from OpenAlex (CC0) — nothing here is generated.