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How EPU, VIX, and GPR interact with the dynamic connectedness among commodity and financial markets: Evidence from wavelet analysis
16 references·0 citing·41 second hopsampled
How EPU, VIX, and GPR interact with the dynamic connectedness among commodity and financial markets: Evidence from wavelet analysis (2024)How EPU, VIX, and GPR interact with the d…The impact of the Russia-Ukraine conflict on the connectedness of financial markets (2022)The impact of the Russia-Ukra…Measuring Geopolitical Risk (2022)Measuring Geopolitical RiskGeopolitical risk and the systemic risk in the commodity markets under the war in Ukraine (2022)Geopolitical risk and the sys…Geopolitical risk and stock market volatility: A global perspective (2022)Geopolitical risk and stock m…Geopolitical risk and dynamic connectedness between commodity markets (2022)Geopolitical risk and dynamic…Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression (2022)Does geopolitical risk matter…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)How COVID-19 drives connected…Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)Bitcoin, gold, and commoditie…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…Measuring Uncertainty (2015)Measuring UncertaintyOn the links between stock and commodity markets' volatility (2013)On the links between stock an…Risk, Uncertainty and Monetary Policy (2011)Risk, Uncertainty and Monetar…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Oil price shocks and stock market activity (1999)Is gold a safe haven? International evidence (2010)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)CNNpred: CNN-based stock market prediction using a diverse set of variables (2019)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Irreversibility, Uncertainty, and Cyclical Investment (1980)Investment Under Uncertainty. (1994)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Testing for a Unit Root in Time Series Regression (1988)Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2009)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic? (2020)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Static and Dynamic Connectedness Between NFTs, Defi and Other Assets: Portfolio Implication (2021)Efficient Tests for an Autoregressive Unit Root (1996)Return connectedness across asset classes around the COVID-19 outbreak (2020)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Discretion versus policy rules in practice (1993)Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)Fluctuations in Uncertainty (2014)Investment under Uncertainty (1994)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)The Unprecedented Stock Market Reaction to COVID-19 (2020)Industry costs of equity (1997)Russia–Ukraine crisis: The effects on the European stock market (2022)Advancing green finance: a review of sustainable development (2023)The impact of the Russian-Ukrainian war on global financial markets (2023)The Cross-Section of Expected Stock Returns (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Policy Uncertainty and Corporate Investment (2015)COVID-Induced Economic Uncertainty (2020)
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References

  • 2016Measuring Economic Policy Uncertainty*12,809 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 2022Measuring Geopolitical Risk4,303 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,690 cited
  • 2011Risk, Uncertainty and Monetary Policy1,330 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2013On the links between stock and commodity markets' volatility559 cited
  • 2020Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis524 cited
  • 2022The impact of the Russia-Ukraine conflict on the connectedness of financial markets428 cited
  • 2020How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques397 cited
  • 2022Geopolitical risk and dynamic connectedness between commodity markets352 cited
  • 2022Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine334 cited
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Geopolitical risk and stock market volatility: A global perspective
203 cited
  • 2022Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression186 cited
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