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The Russia-Ukraine conflict and volatility risk of commodity markets · Study

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ArticleThe Russia-Ukraine conflict and volatility risk of commodity markets

Yi Xiang Fang2022

Article2022

The Russia-Ukraine conflict and volatility risk of commodity markets

Yi Xiang Fang · Zhiquan Shao

269 citations·0/0 files stored·Finance research letters

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

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2005Estimation and Inference of Impulse Responses by Local Projections 1988Estimating Vector Autoregressions with Panel Data 2022Measuring Geopolitical Risk 2006Financial development and dynamic investment behavior: Evidence from panel VAR 2017Estimating global bank network connectedness 2022The impact of the Russia-Ukraine conflict on the connectedness of financial markets

Cited by

2023Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises 2023Time-frequency volatility connectedness between fossil energy and agricultural commodities: Comparing the COVID-19 pandemic with the Russia-Ukraine conflict 2024The impact of Russia–Ukraine war on crude oil prices: an EMC framework 2024The amplifying role of geopolitical Risks, economic policy Uncertainty, and climate risks on Energy-Stock market volatility spillover across economic cycles

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Details

Year2022

Typearticle

Published2022-08-21

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations269

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.frl.2022.103264

openalex_workW4297760334

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2023

The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas

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2023Interconnectivity among cryptocurrencies, NFTs, and DeFi: Evidence from the Russia-Ukraine conflict

2023The impact of Covid-19 and Russia–Ukraine war on the financial asset volatility: Evidence from equity, cryptocurrency and alternative assets