SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Contemporaneous and lagged R 2 decomposed connectedness approach: New evidence from the energy futures market
16 references·0 citing·29 second hopsampled
Contemporaneous and lagged R 2 decomposed connectedness approach: New evidence from the energy futures market (2023)Contemporaneous and lagged R 2 decomposed…Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Quantile time–frequency price…The realized volatility of commodity futures: Interconnectedness and determinants (2021)The realized volatility of co…Tail Risk Connectedness in the Refined Petroleum Market: A First Look at the Impact of the COVID Pandemic (2021)Tail Risk Connectedness in th…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness (2020)EMU risk-synchronisation and …The Joint Spillover Index (2019)The Joint Spillover IndexEstimating global bank network connectedness (2017)Estimating global bank networ…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing (2012)New Weighted Portmanteau Stat…What has driven oil prices since 2000? A structural change perspective (2011)What has driven oil prices si…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Volatility spillover effects and cross hedging in corn and crude oil futures (2010)Volatility spillover effects …Physical market determinants of the price of crude oil and the market premium (2009)Physical market determinants …Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modelling Financial Time Series (2007)Return connectedness across asset classes around the COVID-19 outbreak (2020)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Unit root tests for panel data (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Impulse response analysis in nonlinear multivariate models (1996)Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)Climate policy uncertainty and the price dynamics of green and brown energy stocks (2022)Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021)Geopolitical risk and dynamic connectedness between commodity markets (2022)Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system (2021)Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity (2022)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)SRISK: A conditional capital shortfall measure of systemic risk (2017)Connectedness between geopolitical risk, financial instability indices and precious metals markets: Novel findings from Russia Ukraine conflict perspective (2022)Dynamic connectedness among climate change index, green financial assets and renewable energy markets: Novel evidence from sustainable development perspective (2022)Impact of climate policy uncertainty on traditional energy and green markets: Evidence from time-varying granger tests (2022)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 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
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2017Estimating global bank network connectedness637 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2022Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets519 cited
  • 2012New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing453 cited
  • 2020EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness291 cited
  • 2019The Joint Spillover Index214 cited
  • 2011What has driven oil prices since 2000? A structural change perspective183 cited
  • 2021The realized volatility of commodity futures: Interconnectedness and determinants156 cited
  • 2010Volatility spillover effects and cross hedging in corn and crude oil futures

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

135 cited
  • 2021Tail Risk Connectedness in the Refined Petroleum Market: A First Look at the Impact of the COVID Pandemic96 cited
  • 2009Physical market determinants of the price of crude oil and the market premium95 cited
  • Cited by

    No citing works inside the corpus for this window.