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Oil price shocks and the return and volatility spillover between industrial and precious metals
16 references·12 citing·29 second hop
Oil price shocks and the return and volatility spillover between industrial and precious metals (2021)Oil price shocks and the return and volat…Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)COVID-19 pandemic, oil prices…Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Time and frequency dynamics o…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Food versus fuel: What do prices tell us? (2009)Food versus fuel: What do pri…Dynamics of oil price, precious metal prices, and exchange rate (2009)Dynamics of oil price, precio…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak (2024)Connectedness and frequency c…The connectedness of oil shocks, green bonds, sukuks and conventional bonds (2023)The connectedness of oil shoc…RETRACTED: Connectedness and portfolio management between renewable energy tokens and metals: Evidence from TVP-VAR approach (2023)RETRACTED: Connectedness and …Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach (2023)Extreme spillovers between in…Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures (2023)Dynamic spillovers across pre…What do the AI methods tell us about predicting price volatility of key natural resources: Evidence from hyperparameter tuning (2022)What do the AI methods tell u…Quantile time-frequency connectedness between cryptocurrency volatility and renewable energy volatility during the COVID-19 pandemic and Ukraine-Russia conflicts (2022)Quantile time-frequency conne…Oil shocks and corporate social responsibility (2022)Oil shocks and corporate soci…Natural resource abundance and financial development: A case study of emerging (E−15) economies (2022)Natural resource abundance an…COVID-19 and the quantile connectedness between energy and metal markets (2022)COVID-19 and the quantile con…Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era (2021)Dynamic return and volatility…Cryptocurrencies and oil price shocks: A NARDL analysis in the COVID-19 pandemic (2021)Cryptocurrencies and oil pric…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Stock Returns, Real Activity, Inflation, and Money (1981)What is an Oil Shock? (2000)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Residual-based tests for cointegration in models with regime shifts (1996)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)The Quarterly Journal of Economics (2024)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Financial contagion during COVID–19 crisis (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)SRISK: A conditional capital shortfall measure of systemic risk (2017)
this work references cited by second hop

References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 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
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis3,283 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2020Financial markets under the global pandemic of COVID-192,349 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 2020COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach1,488 cited
  • 2018Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices643 cited

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2016
Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets
575 cited
  • 2009Dynamics of oil price, precious metal prices, and exchange rate504 cited
  • 2009Food versus fuel: What do prices tell us?463 cited
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    • 2021Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era90 cited
    • 2022COVID-19 and the quantile connectedness between energy and metal markets89 cited
    • 2023The connectedness of oil shocks, green bonds, sukuks and conventional bonds77 cited
    • 2023Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures77 cited
    • 2023RETRACTED: Connectedness and portfolio management between renewable energy tokens and metals: Evidence from TVP-VAR approach69 cited
    • 2024Connectedness and frequency connection among green bond, cryptocurrency and green energy-related metals around the COVID-19 outbreak66 cited
    • 2022Oil shocks and corporate social responsibility43 cited
    • 2022What do the AI methods tell us about predicting price volatility of key natural resources: Evidence from hyperparameter tuning37 cited
    • 2023Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach32 cited
    • 2022Natural resource abundance and financial development: A case study of emerging (E−15) economies23 cited