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Volatility spillovers in commodity futures markets: A network approach
16 references·1 citing·42 second hopsampled
Volatility spillovers in commodity futures markets: A network approach (2021)Volatility spillovers in commodity future…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…Estimating global bank network connectedness (2017)Estimating global bank networ…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)Asymmetric connectedness on t…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013)The Role of Speculation in Oi…THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)THE ROLE OF INVENTORIES AND S…Financialization of Commodity Markets (2013)Financialization of Commodity…The Fundamentals of Commodity Futures Returns (2012)The Fundamentals of Commodity…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Real-Time Measurement of Business Conditions (2009)Real-Time Measurement of Busi…Variance Risk Premiums (2008)Variance Risk PremiumsMeasuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Oil spills on other commodities (2007)Oil spills on other commoditi…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Spillovers and hedging effectiveness of non-ferrous metals and sub-sectoral clean energy stocks in time and frequency domain (2022)Spillovers and hedging effect…Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Speculators, commodities and cross-market linkages (2013)Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)New Indexes of Coincident and Leading Economic Indicators (1989)Macroeconomic Forecasting Using Diffusion Indexes (2002)Forecasting Stock Returns (2013)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Fiscal Volatility Shocks and Economic Activity (2015)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)Momentum crashes (2016)Evaluating Natural Resource Investments (1985)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Facts and Fantasies about Commodity Futures (2006)A Model of Financialization of Commodities (2016)Intermediary asset pricing: New evidence from many asset classes (2017)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Limits of Arbitrage (1995)Market Liquidity and Funding Liquidity (2008)New Evidence on the Financialization of Commodity Markets (2014)Extrapolation and bubbles (2018)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 2013THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL1,439 cited
  • 2008Variance Risk Premiums1,328 cited
  • 2009Real-Time Measurement of Business Conditions916 cited
  • 2013Financialization of Commodity Markets808 cited
  • 2012The Fundamentals of Commodity Futures Returns760 cited
  • 2018Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices643 cited
  • 2017Estimating global bank network connectedness637 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2013The Role of Speculation in Oil Markets: What Have We Learned So Far?491 cited
  • 2015

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Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
459 cited
  • 2007Oil spills on other commodities454 cited
  • Cited by

    • 2022Spillovers and hedging effectiveness of non-ferrous metals and sub-sectoral clean energy stocks in time and frequency domain53 cited