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The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures
16 references·1 citing·49 second hop
The COVID-19 pandemic and speculation in energy, precious metals, and agricultural futures (2021)The COVID-19 pandemic and speculation in …Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Safe haven or risky hazard? B…CoVaR (2016)CoVaRFinancialization of Commodity Markets (2013)Financialization of Commodity…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Financialization, crisis and commodity correlation dynamics (2012)Financialization, crisis and …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…Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesFacts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)Price Volatility, Trading Vol…Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Systematic Risk, Hedging Pres…The Excess Co-Movement of Commodity Prices (1990)The Excess Co-Movement of Com…On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…The Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…The impact of COVID-19 induced panic on the return and volatility of precious metals (2021)The impact of COVID-19 induce…The Economics of Exhaustible Resources (1931)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)What is an Oil Shock? (2000)Causes and Consequences of the Oil Shock of 2007-08 (2009)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Volatility forecast comparison using imperfect volatility proxies (2010)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis (2020)COVID-19 and finance: Agendas for future research (2020)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Is gold a safe haven? International evidence (2010)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)The Strategic and Tactical Value of Commodity Futures (2006)The Fundamentals of Commodity Futures Returns (2012)“Options, Futures, and Other Derivatives” (2016)The Limits of Arbitrage (1995)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Market Liquidity and Funding Liquidity (2008)New Evidence on the Financialization of Commodity Markets (2014)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Extrapolation and bubbles (2018)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Oil prices, exchange rates and emerging stock markets (2011)
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2016CoVaR2,395 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2008Understanding Crude Oil Prices1,270 cited
  • 2020Safe haven or risky hazard? Bitcoin during the Covid-19 bear market832 cited
  • 2013Financialization of Commodity Markets808 cited
  • 1990The Excess Co-Movement of Commodity Prices769 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 1993Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets667 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 2012Financialization, crisis and commodity correlation dynamics650 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures617 cited
  • 1992Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets

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  • 2021The impact of COVID-19 induced panic on the return and volatility of precious metals57 cited