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Tail risk spillover effects in commodity markets: A comparative study of crisis periods
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Tail risk spillover effects in commodity markets: A comparative study of crisis periods (2023)Tail risk spillover effects in commodity …Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak (2022)Quantile risk spillovers betw…Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)Time-frequency connectedness …Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic (2021)Intraday volatility transmiss…Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach (2021)Asymmetric relationship betwe…Time and frequency connectedness among oil shocks, electricity and clean energy markets (2020)Time and frequency connectedn…Spillover network of commodity uncertainties (2019)Spillover network of commodit…Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture (2019)Dynamics of volatility spillo…Global financial crisis and rising connectedness in the international commodity markets (2018)Global financial crisis and r…Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment (2016)Co-movement of major energy, …Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis (2015)Analyzing volatility spillove…Oil price shocks and agricultural commodity prices (2014)Oil price shocks and agricult…Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets (2013)Do energy prices stimulate fo…Volatility spillover between oil and agricultural commodity markets (2012)Volatility spillover between …Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …On the Behaviour of Commodity Prices (1992)On the Behaviour of Commodity…Stochastic Simulation (1987)How Big Is the Random Walk in GNP? 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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1992On the Behaviour of Commodity Prices1,154 cited
  • 2012Volatility spillover between oil and agricultural commodity markets539 cited
  • 2018Global financial crisis and rising connectedness in the international commodity markets382 cited
  • 2021Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis323 cited
  • 2022Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak277 cited
  • 2015Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis266 cited
  • 2020Time and frequency connectedness among oil shocks, electricity and clean energy markets262 cited
  • 2014Oil price shocks and agricultural commodity prices251 cited
  • 2013Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets240 cited
  • 2021Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach198 cited
  • 2019Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture184 cited
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Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic
179 cited
  • 2016Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment178 cited
  • 2019Spillover network of commodity uncertainties178 cited
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