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The connectedness in the world petroleum futures markets using a Quantile VAR approach · Study

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ArticleThe connectedness in the world petroleum futures markets using a Quantile VAR approach

Sangram Keshari Jena2021

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Articlegreen2021

The connectedness in the world petroleum futures markets using a Quantile VAR approach

Sangram Keshari Jena · Aviral Kumar Tiwari · Emmanuel Joel Aikins Abakah · Shawkat M. Hammoudeh

88 citations·0/0 files stored·Journal of commodity markets

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Market Dynamics and Volatility Economics of Agriculture and Food Markets Financial Risk and Volatility Modeling

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References

1998Generalized impulse response analysis in linear multivariate models 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis 1996Impulse response analysis in nonlinear multivariate models 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations

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Details

Year2021

Typearticle

Published2021-10-16

VenueJournal of commodity markets

ISSN-L2405-8505

Languageen

Citations88

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.jcomm.2021.100222

openalex_workW3206736508

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