Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets
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DOI: 10.1016/j.eneco.2023.106853
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- Szafranek, Karol & Rubaszek, Michał & Uddin, Gazi Salah, 2024.
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- Cui, Jinxin & Maghyereh, Aktham, 2024. "Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress," Journal of Commodity Markets, Elsevier, vol. 33(C).
- Priya, Pragati & Pal, Debdatta, 2024. "Does crude oil price volatility respond asymmetrically to financial shocks?," Resources Policy, Elsevier, vol. 92(C).
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More about this item
Keywords
Crude oil; Vine copula; COVID-19; Russia–Ukraine; Complex dependence;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
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