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Dynamic volatility connectedness between industrial metal markets
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 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
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2001Evolving Post-World War II U.S. Inflation Dynamics914 cited
  • 2012Financialization, crisis and commodity correlation dynamics650 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2009Dynamics of oil price, precious metal prices, and exchange rate504 cited

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  • 2011Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications402 cited
  • 2013Is gold a hedge or safe haven against oil price movements?362 cited
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