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Modelling systemic risk of energy and non-energy commodity markets during the COVID-19 pandemic
16 references·1 citing·43 second hop
Modelling systemic risk of energy and non-energy commodity markets during the COVID-19 pandemic (2022)Modelling systemic risk of energy and non…Tail dependence between bitcoin and green financial assets (2021)Tail dependence between bitco…Examining the Interrelatedness of NFT’s, DeFi Tokens and Cryptocurrencies (2021)Examining the Interrelatednes…Global financial crisis and rising connectedness in the international commodity markets (2018)Global financial crisis and r…TENET: Tail-Event driven NETwork risk (2016)TENET: Tail-Event driven NETw…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…Dynamic linkages among oil price, gold price, exchange rate, and stock market in India (2016)Dynamic linkages among oil pr…Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)Is there dependence and syste…Wavelet-based evidence of the impact of oil prices on stock returns (2013)Wavelet-based evidence of the…Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Speculation and volatility sp…On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)On the Network Topology of Va…Oil prices, exchange rates and emerging stock markets (2011)Oil prices, exchange rates an…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…CAViaR (2004)CAViaRAnnals of operations research (1989)Annals of operations researchTail risk spillover effects in commodity markets: A comparative study of crisis periods (2023)Tail risk spillover effects i…STOCK PRICES, REAL ACTIVITY, INFLATION AND MONEY (1981)What is an Oil Shock? (2000)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Financial Intermediation and Credit Policy in Business Cycle Analysis (2010)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)An analysis of the literature on systemic financial risk: A survey (2016)Interconnectedness and systemic risk of China's financial institutions (2017)Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions (2021)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Impact of News on Volatility (1993)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)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)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)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021)Geopolitical risk and dynamic connectedness between commodity markets (2022)Statistical inference in vector autoregressions with possibly integrated processes (1995)Efficient Tests for an Autoregressive Unit Root (1996)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Oil price shocks and stock market returns: New evidence from the United States and China (2014)Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach (2017)On the Estimation of Security Price Volatilities from Historical Data (1980)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The role of multiplier bounds in efficiency analysis with application to Kansas farming (1990)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Blockchain technology for enhancing swift-trust, collaboration and resilience within a humanitarian supply chain setting (2020)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)
this work references cited by second hop

References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,889 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,842 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,299 cited
  • 2004CAViaR2,210 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
  • 1989Annals of operations research1,329 cited
  • 2011Oil prices, exchange rates and emerging stock markets729 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2011Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis550 cited
  • 2016TENET: Tail-Event driven NETwork risk472 cited
  • 2014Is there dependence and systemic risk between oil and renewable energy stock prices?469 cited
  • 2018Global financial crisis and rising connectedness in the international commodity markets382 cited
  • 2016Dynamic linkages among oil price, gold price, exchange rate, and stock market in India367 cited
  • 2021Examining the Interrelatedness of NFT’s, DeFi Tokens and Cryptocurrencies315 cited

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2021
Tail dependence between bitcoin and green financial assets
300 cited
  • 2013Wavelet-based evidence of the impact of oil prices on stock returns271 cited
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    • 2023Tail risk spillover effects in commodity markets: A comparative study of crisis periods50 cited