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The Impact of Oil Shocks on Systemic Risk of the Commodity Markets
16 references·0 citing·41 second hopsampled
The Impact of Oil Shocks on Systemic Risk of the Commodity Markets (2024)The Impact of Oil Shocks on Systemic Risk…COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)COVID-19 pandemic, oil prices…Estimating global bank network connectedness (2017)Estimating global bank networ…Measuring Systemic Risk (2016)Measuring Systemic RiskDynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…CoVaR (2016)CoVaRStock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…A Survey of Systemic Risk Analytics (2012)A Survey of Systemic Risk Ana…On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)On the Network Topology of Va…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Do structural oil-market shocks affect stock prices? (2009)Do structural oil-market shoc…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Oil prices, US stock return, and the dependence between their quantiles (2015)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)What is an Oil Shock? (2000)The Economic Effects of Energy Price Shocks (2008)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)Measuring Economic Policy Uncertainty* (2016)COVID-19 and finance: Agendas for future research (2020)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Financial contagion during COVID–19 crisis (2020)Return connectedness across asset classes around the COVID-19 outbreak (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)A NEW MEASURE OF RANK CORRELATION (1938)Liquidity Risk and Expected Stock Returns (2003)Market Liquidity and Funding Liquidity (2008)Systemic Risk and Stability in Financial Networks (2015)Bank Runs, Deposit Insurance, and Liquidity (1983)Coherent Measures of Risk (1999)Bank Capital and Lending Relationships (2017)Evaluating Interval Forecasts (1998)Liquidity and leverage (2008)SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2016)
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References

  • 2002Dynamic Conditional Correlation7,229 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms4,943 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,704 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,538 cited
  • 2016CoVaR2,490 cited
  • 2016Measuring Systemic Risk1,901 cited
  • 1999Oil price shocks and stock market activity1,823 cited
  • 2020COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach1,548 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,140 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2012A Survey of Systemic Risk Analytics717 cited
  • 2009Do structural oil-market shocks affect stock prices?715 cited
  • 2017Estimating global bank network connectedness

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650 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
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