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Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices
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Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices (2021)Impact of COVID-19 outbreak on multi-scal…Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany (2021)Crude oil market and stock ma…The socio-economic implications of the coronavirus pandemic (COVID-19): A review (2020)The socio-economic implicatio…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…COVID-19 and finance: Agendas for future research (2020)COVID-19 and finance: Agendas…Energy and Food Security: Linkages through Price Volatility (2019)Energy and Food Security: Lin…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Global financial crisis and rising connectedness in the international commodity markets (2018)Global financial crisis and r…Volatility spillover between oil and agricultural commodity markets (2012)Volatility spillover between …World oil and agricultural commodity prices: Evidence from nonlinear causality (2011)World oil and agricultural co…Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Speculation and volatility sp…Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis (2011)Oil price, agricultural commo…World oil prices and agricultural commodity prices: Evidence from an emerging market (2010)World oil prices and agricult…Modeling the relationship between the oil price and global food prices (2010)Modeling the relationship bet…How to Understand High Food Prices (2010)How to Understand High Food P…Oil spills on other commodities (2007)Oil spills on other commoditi…Impulse response analysis in nonlinear multivariate models (1996)Generalized impulse response analysis in linear multivariate models (1998)Understanding Crude Oil Prices (2008)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis (2016)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)Biofuel-related price transmission literature: A review (2013)Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model (2018)Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Rethinking the global food crisis: The role of trade shocks (2010)Index Funds, Financialization, and Commodity Futures Markets (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The Economic Effects of Energy Price Shocks (2008)Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)On the links between stock and commodity markets' volatility (2013)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A STATE‐PREFERENCE MODEL OF OPTIMAL FINANCIAL LEVERAGE (1973)Trust: The Social Virtues and the Creation of Prosperity (1996)The macroeconomic consequences of disasters (2008)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)The role of ESG performance during times of financial crisis: Evidence from COVID-19 in China (2020)Introduction to Econophysics (1999)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Feverish Stock Price Reactions to COVID-19* (2020)Financial contagion during COVID–19 crisis (2020)The Coronavirus and the Great Influenza Pandemic: Lessons from the “Spanish Flu” for the Coronavirus’s Potential Effects on Mortality and Economic Activity (2020)Measuring Economic Policy Uncertainty* (2016)Return connectedness across asset classes around the COVID-19 outbreak (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Food price volatility (2010)Is gold a hedge or safe haven against oil price movements? (2013)Impact of COVID-19 pandemic on mental health in the general population: A systematic review (2020)Impacts of the COVID-19 Pandemic on Life of Higher Education Students: A Global Perspective (2020)COVID-19 Vaccine Hesitancy Worldwide: A Concise Systematic Review of Vaccine Acceptance Rates (2021)
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References

  • 2020The socio-economic implications of the coronavirus pandemic (COVID-19): A review6,745 cited
  • 2020Financial markets under the global pandemic of COVID-192,567 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,891 cited
  • 2020COVID-19 and finance: Agendas for future research1,735 cited
  • 2020COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach1,548 cited
  • 2010How to Understand High Food Prices738 cited
  • 2011Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis550 cited
  • 2012Volatility spillover between oil and agricultural commodity markets539 cited
  • 2007Oil spills on other commodities454 cited
  • 2011Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis422 cited
  • 2018Global financial crisis and rising connectedness in the international commodity markets382 cited
  • 2021Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany357 cited
  • 2010World oil prices and agricultural commodity prices: Evidence from an emerging market333 cited
  • 2019Energy and Food Security: Linkages through Price Volatility

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306 cited
  • 2011World oil and agricultural commodity prices: Evidence from nonlinear causality304 cited
  • 2010Modeling the relationship between the oil price and global food prices295 cited
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