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Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis
16 references·0 citing·49 second hop
Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis (2024)Quantifying spillovers and connectedness …Impact of Russian-Ukraine war on clean energy, conventional energy, and metal markets: Evidence from event study approach (2022)Impact of Russian-Ukraine war…Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach (2021)Interest rate swaps and the t…Searching for safe-haven assets during the COVID-19 pandemic (2020)Searching for safe-haven asse…Hedging geopolitical risk with precious metals (2020)Hedging geopolitical risk wit…Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Are cryptocurrencies a safe h…Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis (2019)Volatility spillover effects …High frequency volatility co-movements in cryptocurrency markets (2019)High frequency volatility co-…Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Quantile Connectedness: Model…Dynamic connectedness of uncertainty across developed economies: A time-varying approach (2018)Dynamic connectedness of unce…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…A Model of Financialization of Commodities (2016)A Model of Financialization o…Speculators, commodities and cross-market linkages (2013)Speculators, commodities and …New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing (2012)New Weighted Portmanteau Stat…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…The Drivers of Financial Globalization (2008)The Drivers of Financial Glob…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modelling Financial Time Series (2007)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Return connectedness across asset classes around the COVID-19 outbreak (2020)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)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)Correlations in Price Changes and Volatility across International Stock Markets (1990)Dynamic Conditional Correlation (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Value and Capital (1939)Uncertainty about Government Policy and Stock Prices (2012)Do ETFs Increase Volatility? (2014)Financialization, distance and global food politics (2014)New Evidence on the Financialization of Commodity Markets (2014)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2009)Financial markets under the global pandemic of COVID-19 (2020)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Measuring Economic Policy Uncertainty* (2016)Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis (2020)Static and Dynamic Connectedness Between NFTs, Defi and Other Assets: Portfolio Implication (2021)The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021)Rational contagion and the globalization of securities markets (2000)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)A CNN–LSTM model for gold price time-series forecasting (2020)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Investor Flows and the 2008 Boom/Bust in Oil Prices (2013)The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013)Impulse response analysis in nonlinear multivariate models (1996)Generalized impulse response analysis in linear multivariate models (1998)The spillover effects and connectedness among green commodities, Bitcoins, and US stock markets: Evidence from the quantile VAR network (2022)RETRACTED: Exploring the dynamic connectedness among energy transition and its drivers: Understanding the moderating role of global geopolitical risk (2023)Common risk factors in the returns on stocks and bonds (1993)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Market Liquidity and Funding Liquidity (2008)EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness (2020)Examining the Interrelatedness of NFT’s, DeFi Tokens and Cryptocurrencies (2021)Quantile connectedness in the cryptocurrency market (2021)
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References

  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 2010Is gold a safe haven? International evidence2,082 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,425 cited
  • 2018Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks989 cited
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  • 2013Speculators, commodities and cross-market linkages617 cited
  • 2020Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic603 cited
  • 2016A Model of Financialization of Commodities594 cited
  • 2021Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach524 cited
  • 2012New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing455 cited
  • 2020Hedging geopolitical risk with precious metals361 cited
  • 2018Dynamic connectedness of uncertainty across developed economies: A time-varying approach346 cited
  • 2022Impact of Russian-Ukraine war on clean energy, conventional energy, and metal markets: Evidence from event study approach334 cited
  • 2019Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis312 cited

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  • 2008The Drivers of Financial Globalization280 cited
  • 2019High frequency volatility co-movements in cryptocurrency markets280 cited
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