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Multiscale spillovers, connectedness, and portfolio management among precious and industrial metals, energy, agriculture, and livestock futures
16 references·0 citing·40 second hopsampled
Multiscale spillovers, connectedness, and portfolio management among precious and industrial metals, energy, agriculture, and livestock futures (2021)Multiscale spillovers, connectedness, and…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…A Model of Financialization of Commodities (2016)A Model of Financialization o…On the links between stock and commodity markets' volatility (2013)On the links between stock an…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…The Economics of Grain Price Volatility (2011)The Economics of Grain Price …Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2009)Is Gold a Hedge or a Safe Hav…International comovement of stock market returns: A wavelet analysis (2009)International comovement of s…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Is the correlation in international equity returns constant: 1960–1990? (1995)Extreme Correlation of International Equity Markets (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (2011)Multifractal analysis of financial markets: a review (2019)Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)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)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The distribution of realized stock return volatility (2001)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (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)Rational contagion and the globalization of securities markets (2000)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A CNN–LSTM model for gold price time-series forecasting (2020)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)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)Oil and the Macroeconomy since World War II (1983)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Strategic and Tactical Value of Commodity Futures (2006)“Options, Futures, and Other Derivatives” (2016)
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References

  • 2002Dynamic Conditional Correlation7,229 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2009Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,707 cited
  • 2010Is gold a safe haven? International evidence2,082 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,891 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,529 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2009International comovement of stock market returns: A wavelet analysis855 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 2005Volatility Spillover Effects in European Equity Markets665 cited
  • 2016A Model of Financialization of Commodities594 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2013On the links between stock and commodity markets' volatility

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559 cited
  • 2011The Economics of Grain Price Volatility426 cited
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