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How connected is the agricultural commodity market to the news-based investor sentiment? · Study

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ArticleHow connected is the agricultural commodity market to the news-based investor sentiment?

Erdinç Akyıldırım2022

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How connected is the agricultural commodity market to the news-based investor sentiment?

Erdinç Akyıldırım · Oğuzhan Çepni · Gazi Salah Uddin

68 citations·0/0 files stored·Energy Economics

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

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References

2016Measuring Economic Policy Uncertainty*2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2005Estimation and Inference of Impulse Responses by Local Projections 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions 2020COVID-Induced Economic Uncertainty 2020The Unprecedented Stock Market Reaction to COVID-19

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2024Forecasting the realized volatility of agricultural commodity prices: Does sentiment matter?

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Year2022

Typearticle

Published2022-07-16

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations68

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.eneco.2022.106174

openalex_workW4285679302

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