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Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model

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Cited by:

  1. Bouri, Elie & Cepni, Oguzhan & Gabauer, David & Gupta, Rangan, 2021. "Return connectedness across asset classes around the COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 73(C).
  2. Sun, Yunpeng & Gao, Pengpeng & Raza, Syed Ali & Shah, Nida & Sharif, Arshian, 2023. "The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach," Energy, Elsevier, vol. 270(C).
  3. Liu, Chang & Sun, Xiaolei & Wang, Jun & Li, Jianping & Chen, Jianming, 2021. "Multiscale information transmission between commodity markets: An EMD-Based transfer entropy network," Research in International Business and Finance, Elsevier, vol. 55(C).
  4. Dai, Yun-Shi & Huynh, Ngoc Quang Anh & Zheng, Qing-Huan & Zhou, Wei-Xing, 2022. "Correlation structure analysis of the global agricultural futures market," Research in International Business and Finance, Elsevier, vol. 61(C).
  5. Xinyu Yuan & Jiechen Tang & Wing-Keung Wong & Songsak Sriboonchitta, 2020. "Modeling Co-Movement among Different Agricultural Commodity Markets: A Copula-GARCH Approach," Sustainability, MDPI, vol. 12(1), pages 1-17, January.
  6. Sun, Xiaolei & Liu, Chang & Wang, Jun & Li, Jianping, 2020. "Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
  7. Satish Kumar & Aviral Kumar Tiwari & I. D. Raheem & Qiang Ji, 2020. "Dependence risk analysis in energy, agricultural and precious metals commodities: a pair vine copula approach," Applied Economics, Taylor & Francis Journals, vol. 52(28), pages 3055-3072, June.
  8. Xia, Tongshui & Ji, Qiang & Geng, Jiang-Bo, 2020. "Nonlinear dependence and information spillover between electricity and fuel source markets: New evidence from a multi-scale analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  9. Albulescu, Claudiu Tiberiu & Tiwari, Aviral Kumar & Ji, Qiang, 2020. "Copula-based local dependence among energy, agriculture and metal commodities markets," Energy, Elsevier, vol. 202(C).
  10. Casagranda, Yasmin Gomes & Casarotto, Eduardo Luis & Pereira, Gênesis Miguel & Amorin, Anderson Luís Walker & Schollkopf, Joana Cechele & Mores, Giana de Vargas, 2023. "Agricultural commodities price dependence on Brazilian financial market," International Journal on Food System Dynamics, International Center for Management, Communication, and Research, vol. 14(01), January.
  11. White, Reilly & Marinakis, Yorgos & Islam, Nazrul & Walsh, Steven, 2020. "Is Bitcoin a currency, a technology-based product, or something else?," Technological Forecasting and Social Change, Elsevier, vol. 151(C).
  12. Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan & Nguyen, Duc Khuong, 2020. "Dynamic volatility spillover effects between oil and agricultural products," International Review of Financial Analysis, Elsevier, vol. 69(C).
  13. Khalfaoui, Rabeh & Baumöhl, Eduard & Sarwar, Suleman & Výrost, Tomáš, 2021. "Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks," Resources Policy, Elsevier, vol. 74(C).
  14. repec:ags:ijag24:344838 is not listed on IDEAS
  15. Kumar, Satish & Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Hille, Erik, 2021. "Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach," Resources Policy, Elsevier, vol. 72(C).
  16. Claudiu Albulescu & Aviral Tiwari & Qiang Ji, 2020. "Copula-based local dependence between energy, agriculture and metal commodity markets," Papers 2003.04007, arXiv.org.
  17. Rangan Gupta & Christian Pierdzioch, 2024. "Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices," Mathematics, MDPI, vol. 12(18), pages 1-26, September.
  18. Xu, Qifa & Li, Mengting & Jiang, Cuixia & He, Yaoyao, 2019. "Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  19. Zhou, Wei-Xing & Dai, Yun-Shi & Duong, Kiet Tuan & Dai, Peng-Fei, 2024. "The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots," Journal of Economic Behavior & Organization, Elsevier, vol. 217(C), pages 91-111.
  20. Gaete, Michael & Herrera, Rodrigo, 2023. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," Journal of Commodity Markets, Elsevier, vol. 32(C).
  21. Ali, Sajid & Bouri, Elie & Czudaj, Robert Lukas & Shahzad, Syed Jawad Hussain, 2020. "Revisiting the valuable roles of commodities for international stock markets," Resources Policy, Elsevier, vol. 66(C).
  22. Khadija Sherece Usher & Benjamin Craig McLellan, 2024. "Inherent Risk Analysis of Power Supply Management: Case of Belize’s System Operator and Third-Party Actors," Energies, MDPI, vol. 18(1), pages 1-35, December.
  23. Naeem, Muhammad Abubakr & Peng, Zhe & Suleman, Mouhammed Tahir & Nepal, Rabindra & Shahzad, Syed Jawad Hussain, 2020. "Time and frequency connectedness among oil shocks, electricity and clean energy markets," Energy Economics, Elsevier, vol. 91(C).
  24. Gaoke Liao & Zhenghui Li & Ziqing Du & Yue Liu, 2019. "The Heterogeneous Interconnections between Supply or Demand Side and Oil Risks," Energies, MDPI, vol. 12(11), pages 1-17, June.
  25. Tian, Maoxi & Ji, Hao, 2022. "GARCH copula quantile regression model for risk spillover analysis," Finance Research Letters, Elsevier, vol. 44(C).
  26. He, Kaijian & Tso, Geoffrey K.F. & Zou, Yingchao & Liu, Jia, 2018. "Crude oil risk forecasting: New evidence from multiscale analysis approach," Energy Economics, Elsevier, vol. 76(C), pages 574-583.
  27. Le, Trung H. & Pham, Linh & Do, Hung X., 2023. "Price risk transmissions in the water-energy-food nexus: Impacts of climate risks and portfolio implications," Energy Economics, Elsevier, vol. 124(C).
  28. Saeed, Asif & Chaudhry, Sajid M. & Arif, Ahmed & Ahmed, Rizwan, 2023. "Spillover of energy commodities and inflation in G7 plus Chinese economies," Energy Economics, Elsevier, vol. 127(PA).
  29. Li, Wei-Zhen & Zhai, Jin-Rui & Jiang, Zhi-Qiang & Wang, Gang-Jin & Zhou, Wei-Xing, 2022. "Predicting tail events in a RIA-EVT-Copula framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  30. Soni, Rajat Kumar & Nandan, Tanuj, 2022. "Modeling Covid-19 contagious effect between asset markets and commodity futures in India," Resources Policy, Elsevier, vol. 79(C).
  31. Luo, Jiawen & Ji, Qiang, 2018. "High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets," Energy Economics, Elsevier, vol. 76(C), pages 424-438.
  32. Xueyi Yu & Chi Mu & Dongdong Zhang, 2020. "Assessment of Land Reclamation Benefits in Mining Areas Using Fuzzy Comprehensive Evaluation," Sustainability, MDPI, vol. 12(5), pages 1-20, March.
  33. Liu, Jianing & Man, Yuanyuan & Dong, Xiuliang, 2023. "Tail dependence and risk spillover effects between China's carbon market and energy markets," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 553-567.
  34. Khalfaoui, Rabeh & Shahzad, Umer & Ghaemi Asl, Mahdi & Ben Jabeur, Sami, 2023. "Investigating the spillovers between energy, food, and agricultural commodity markets: New insights from the quantile coherency approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 63-80.
  35. Tiwari, Aviral Kumar & Boachie, Micheal Kofi & Suleman, Muhammed Tahir & Gupta, Rangan, 2021. "Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks," Energy, Elsevier, vol. 219(C).
  36. Lucey, Brian & Yahya, Muhammad & Khoja, Layla & Uddin, Gazi Salah & Ahmed, Ali, 2024. "Interconnectedness and risk profile of hydrogen against major asset classes," Renewable and Sustainable Energy Reviews, Elsevier, vol. 192(C).
  37. Yaoxun Deng & Guobin Fang & Jun Zhang & Huimin Ma, 2024. "Dynamic Connectedness Among Oil, Food Commodity, and Renewable Energy Markets: Novel Perspective from Quantile Dependence and Deep Learning," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(3), pages 9935-9974, September.
  38. Huang, Shupei & An, Haizhong & Lucey, Brian, 2020. "How do dynamic responses of exchange rates to oil price shocks co-move? From a time-varying perspective," Energy Economics, Elsevier, vol. 86(C).
  39. Dejan Živkov & Marijana Joksimović & Suzana Balaban, 2021. "Measuring parametric and semiparametric downside risks of selected agricultural commodities," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(8), pages 305-315.
  40. Rehman, Mobeen Ur & Bouri, Elie & Eraslan, Veysel & Kumar, Satish, 2019. "Energy and non-energy commodities: An asymmetric approach towards portfolio diversification in the commodity market," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
  41. Zhou, Wei & Chen, Yan & Chen, Jin, 2022. "Risk spread in multiple energy markets: Extreme volatility spillover network analysis before and during the COVID-19 pandemic," Energy, Elsevier, vol. 256(C).
  42. Bernardina Algieri & Arturo Leccadito, 2020. "CARL and His POT: Measuring Risks in Commodity Markets," Risks, MDPI, vol. 8(1), pages 1-15, March.
  43. Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2022. "Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models," International Journal of Forecasting, Elsevier, vol. 38(1), pages 51-73.
  44. Kyriazis, Nikolaos & Corbet, Shaen, 2024. "Evaluating the dynamic connectedness of financial assets and bank indices during black-swan events: A Quantile-VAR approach," Energy Economics, Elsevier, vol. 131(C).
  45. Kayani, Umar & Hasnaoui, Amir & Khan, Maaz & Zahoor, Nadia & Nawaz, Farrukh, 2024. "Analyzing fossil fuel commodities' return spillovers during the Russia and Ukraine crisis in the energy market," Energy Economics, Elsevier, vol. 135(C).
  46. Just, Margaret & Echaust, Krzysztof, 2023. "Price volatility transfer between agricultural and energy markets – the perspective of European markets during the COVID-19 pandemic and the Russian-Ukrainian war," Village and Agriculture (Wieś i Rolnictwo), Polish Academy of Sciences (IRWiR PAN), Institute of Rural and Agricultural Development, vol. 199(2), August.
  47. Miroslava Ivanova & Lilko Dospatliev, 2023. "Effects of Diesel Price on Changes in Agricultural Commodity Prices in Bulgaria," Mathematics, MDPI, vol. 11(3), pages 1-22, January.
  48. Karel Janda & Ladislav Kristoufek, 2019. "The relationship between fuel and food prices: Methods, outcomes, and lessons for commodity price risk management," CAMA Working Papers 2019-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  49. Liu, Xiang-dong & Pan, Fei & Cai, Wen-li & Peng, Rui, 2020. "Correlation and risk measurement modeling: A Markov-switching mixed Clayton copula approach," Reliability Engineering and System Safety, Elsevier, vol. 197(C).
  50. Monika Roman & Aleksandra Górecka & Joanna Domagała, 2020. "The Linkages between Crude Oil and Food Prices," Energies, MDPI, vol. 13(24), pages 1-18, December.
  51. Alamah, Zein & Elgammal, Walid & Fakih, Ali, 2024. "Does twitter economic uncertainty matter for wheat prices?," Economics Letters, Elsevier, vol. 234(C).
  52. Umar, Zaghum & Usman, Muhammad & Choi, Sun-Yong & Rice, John, 2023. "Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios," Research in International Business and Finance, Elsevier, vol. 65(C).
  53. Luo, Changqing & Liu, Lan & Wang, Da, 2021. "Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  54. Li, Jingpeng & Umar, Muhammad & Huo, Jiale, 2023. "The spillover effect between Chinese crude oil futures market and Chinese green energy stock market," Energy Economics, Elsevier, vol. 119(C).
  55. Chakraborty, Sandip & Kakani, Ram Kumar & Sampath, Aravind, 2022. "Portfolio risk and stress across the business cycle," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  56. Dai, Yun-Shi & Dai, Peng-Fei & Zhou, Wei-Xing, 2023. "Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  57. Sergio Adriani David & Claudio M. C. Inácio & José A. Tenreiro Machado, 2019. "Ethanol Prices and Agricultural Commodities: An Investigation of Their Relationship," Mathematics, MDPI, vol. 7(9), pages 1-25, August.
  58. Cheng, Natalie Fang Ling & Hasanov, Akram Shavkatovich & Poon, Wai Ching & Bouri, Elie, 2023. "The US-China trade war and the volatility linkages between energy and agricultural commodities," Energy Economics, Elsevier, vol. 120(C).
  59. Abid, Ilyes & Guesmi, Khaled & Goutte, Stéphane & Urom, Christian & Chevallier, Julien, 2019. "Commodities risk premia and regional integration in gas-exporting countries," Energy Economics, Elsevier, vol. 80(C), pages 267-276.
  60. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Adewuyi, Adeolu O. & Lee, Chien-Chiang, 2022. "Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak," Energy Economics, Elsevier, vol. 113(C).
  61. Li, Xiafei & Li, Bo & Wei, Guiwu & Bai, Lan & Wei, Yu & Liang, Chao, 2021. "Return connectedness among commodity and financial assets during the COVID-19 pandemic: Evidence from China and the US," Resources Policy, Elsevier, vol. 73(C).
  62. Morelli, Giacomo, 2023. "Stochastic ordering of systemic risk in commodity markets," Energy Economics, Elsevier, vol. 117(C).
  63. Maitra, Debasish & Guhathakurta, Kousik & Kang, Sang Hoon, 2021. "The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications," Energy Economics, Elsevier, vol. 94(C).
  64. Bing‐Yue Liu & Qiang Ji & Duc Khuong Nguyen & Ying Fan, 2021. "Dynamic dependence and extreme risk comovement: The case of oil prices and exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2612-2636, April.
  65. Ouyang, Ruolan & Chen, Xiang & Fang, Yi & Zhao, Yang, 2022. "Systemic risk of commodity markets: A dynamic factor copula approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
  66. Tian, Maoxi & Guo, Fei & Niu, Rong, 2022. "Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  67. Sosheel S. Godfrey & Thomas Nordblom & Ryan H. L. Ip & Susan Robertson & Timothy Hutchings & Karl Behrendt, 2021. "Drought Shocks and Gearing Impacts on the Profitability of Sheep Farming," Agriculture, MDPI, vol. 11(4), pages 1-19, April.
  68. Cao, Yan & Cheng, Sheng & Li, Xinran, 2023. "How economic policy uncertainty affects asymmetric spillovers in food and oil prices: Evidence from wavelet analysis," Resources Policy, Elsevier, vol. 86(PB).
  69. Shahzad, Farrukh & Bouri, Elie & Mokni, Khaled & Ajmi, Ahdi Noomen, 2021. "Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility," Resources Policy, Elsevier, vol. 74(C).
  70. Rehman, Mobeen Ur & Vo, Xuan Vinh, 2021. "Energy commodities, precious metals and industrial metal markets: A nexus across different investment horizons and market conditions," Resources Policy, Elsevier, vol. 70(C).
  71. Yang, Baochen & Pu, Yingjian & Su, Yunpeng, 2020. "The financialization of Chinese commodity markets," Finance Research Letters, Elsevier, vol. 34(C).
  72. Wang, Haiying & Yuan, Ying & Li, Yiou & Wang, Xunhong, 2021. "Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory," Economic Modelling, Elsevier, vol. 94(C), pages 401-414.
  73. Makkonen, Adam & Vallström, Daniel & Uddin, Gazi Salah & Rahman, Md Lutfur & Haddad, Michel Ferreira Cardia, 2021. "The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns," Energy Economics, Elsevier, vol. 100(C).
  74. Ji, Qiang & Liu, Bing-Yue & Cunado, Juncal & Gupta, Rangan, 2020. "Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  75. Xiong, Shi & Chen, Weidong, 2022. "A robust hybrid method using dynamic network analysis and Weighted Mahalanobis distance for modeling systemic risk in the international energy market," Energy Economics, Elsevier, vol. 109(C).
  76. Chunyi Lu & Zhuoqi Teng & Yu Gao & Renhong Wu & Md. Alamgir Hossain & Yuantao Fang, 2022. "Analysis of Early Warning of RMB Exchange Rate Fluctuation and Value at Risk Measurement Based on Deep Learning," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1501-1524, April.
  77. Yosra Ghabri & Luu Duc Toan Huynh & Muhammad Ali Nasir, 2024. "Volatility spillovers, hedging and safe‐havens under pandemics: All that glitters is not gold!," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1318-1344, April.
  78. Hedi Ben Haddad & Imed Mezghani & Abdessalem Gouider, 2021. "The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties," Economies, MDPI, vol. 9(2), pages 1-22, June.
  79. Geert Dhaene & Piet Sercu & Jianbin Wu, 2022. "Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 868-887, May.
  80. Muhammad Abubakr Naeem & Saqib Farid & Safwan Mohd Nor & Syed Jawad Hussain Shahzad, 2021. "Spillover and Drivers of Uncertainty among Oil and Commodity Markets," Mathematics, MDPI, vol. 9(4), pages 1-26, February.
  81. Bouri, Elie & Kachacha, Imad & Roubaud, David, 2020. "Oil market conditions and sovereign risk in MENA oil exporters and importers," Energy Policy, Elsevier, vol. 137(C).
  82. Umar, Zaghum & Aziz, Saqib & Tawil, Dima, 2021. "The impact of COVID-19 induced panic on the return and volatility of precious metals," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
  83. Hardik A. Marfatia & Qiang Ji & Jiawen Luo, 2022. "Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 383-404, March.
  84. Ding, Shusheng & Wang, Kaihao & Cui, Tianxiang & Du, Min, 2023. "The time-varying impact of geopolitical risk on natural resource prices: The post-COVID era evidence," Resources Policy, Elsevier, vol. 86(PB).
  85. Naeem, Muhammad Abubakr & Karim, Sitara & Hasan, Mudassar & Lucey, Brian M. & Kang, Sang Hoon, 2022. "Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain," Energy Economics, Elsevier, vol. 112(C).
  86. McKenzie, Andrew M. & Ke, Yangmin, 2022. "How do USDA announcements affect international commodity prices?," Journal of Commodity Markets, Elsevier, vol. 28(C).
  87. Eissa, Mohamad Abdelaziz & Al Refai, Hisham, 2019. "Modelling the symmetric and asymmetric relationships between oil prices and those of corn, barley, and rapeseed oil," Resources Policy, Elsevier, vol. 64(C).
  88. Wei, Lu & Li, Guowen & Zhu, Xiaoqian & Sun, Xiaolei & Li, Jianping, 2019. "Developing a hierarchical system for energy corporate risk factors based on textual risk disclosures," Energy Economics, Elsevier, vol. 80(C), pages 452-460.
  89. Cao, Yan & Cheng, Sheng, 2021. "Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices," Resources Policy, Elsevier, vol. 74(C).
  90. Zhu, Bo & Lin, Renda & Deng, Yuanyue & Chen, Pingshe & Chevallier, Julien, 2021. "Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises," Economic Modelling, Elsevier, vol. 105(C).
  91. Raza, Syed Ali & Guesmi, Khaled & Belaid, Fateh & Shah, Nida, 2022. "Time-frequency causality and connectedness between oil price shocks and the world food prices," Research in International Business and Finance, Elsevier, vol. 62(C).
  92. Naeem, Muhammad Abubakr & Bouri, Elie & Costa, Mabel D. & Naifar, Nader & Shahzad, Syed Jawad Hussain, 2021. "Energy markets and green bonds: A tail dependence analysis with time-varying optimal copulas and portfolio implications," Resources Policy, Elsevier, vol. 74(C).
  93. Kamal, Elham & Bouri, Elie, 2023. "Dependence structure among rare earth and financial markets: A multiscale-vine copula approach," Resources Policy, Elsevier, vol. 83(C).
  94. Wei Su, Chi & Wang, Xiao-Qing & Tao, Ran & Oana-Ramona, Lobonţ, 2019. "Do oil prices drive agricultural commodity prices? Further evidence in a global bio-energy context," Energy, Elsevier, vol. 172(C), pages 691-701.
  95. Zofia Gródek-Szostak & Gabriela Malik & Danuta Kajrunajtys & Anna Szeląg-Sikora & Jakub Sikora & Maciej Kuboń & Marcin Niemiec & Joanna Kapusta-Duch, 2019. "Modeling the Dependency between Extreme Prices of Selected Agricultural Products on the Derivatives Market Using the Linkage Function," Sustainability, MDPI, vol. 11(15), pages 1-14, August.
  96. Sun, Guanglin & Li, Jianfeng & Shang, Zezhong, 2022. "Return and volatility linkages between international energy markets and Chinese commodity market," Technological Forecasting and Social Change, Elsevier, vol. 179(C).
  97. Ha, Le Thanh & Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2024. "Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis," Research in International Business and Finance, Elsevier, vol. 69(C).
  98. Shoukun Jiao & Wuyi Ye, 2022. "Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1203-1229, March.
  99. Xuewei Zhou & Zisheng Ouyang & Rangan Gupta & Qiang Ji, 2024. "Time-Varying Multilayer Networks Analysis of Frequency Connectedness in Commodity Futures Markets," Working Papers 202422, University of Pretoria, Department of Economics.
  100. Aviral Kumar Tiwari & Sangram Keshari Jena & Satish Kumar & Erik Hille, 2022. "Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach," Annals of Operations Research, Springer, vol. 315(1), pages 429-461, August.
  101. Sun Meng & Yan Chen, 2023. "Market Volatility Spillover, Network Diffusion, and Financial Systemic Risk Management: Financial Modeling and Empirical Study," Mathematics, MDPI, vol. 11(6), pages 1-16, March.
  102. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022. "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, vol. 79(C).
  103. Chen, Rongda & Xu, Jianjun, 2019. "Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model," Energy Economics, Elsevier, vol. 78(C), pages 379-391.
  104. Chen, Peng & He, Limin & Yang, Xuan, 2021. "On interdependence structure of China's commodity market," Resources Policy, Elsevier, vol. 74(C).
  105. Linjie Wang & Jean‐Paul Chavas & Jian Li, 2024. "Dynamic linkages in agricultural and energy markets: A quantile impulse response approach," Agricultural Economics, International Association of Agricultural Economists, vol. 55(4), pages 639-676, July.
  106. Han-Yu Zhu & Peng-Fei Dai & Wei-Xing Zhou, 2024. "Uncovering the Sino-US dynamic risk spillovers effects: Evidence from agricultural futures markets," Papers 2403.01745, arXiv.org.
  107. Feng, Qianqian & Sun, Xiaolei & Liu, Chang & Li, Jianping, 2021. "Spillovers between sovereign CDS and exchange rate markets: The role of market fear," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  108. Mensi, Walid & Naeem, Muhammad Abubakr & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Dynamic and frequency spillovers between green bonds, oil and G7 stock markets: Implications for risk management," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 331-344.
  109. Ji, Qiang & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav, 2019. "Information interdependence among energy, cryptocurrency and major commodity markets," Energy Economics, Elsevier, vol. 81(C), pages 1042-1055.
  110. Clement Oteng & Omowumi Iledare & Joshua Sebu, 2024. "Vulnerability of the Agricultural Commodity Markets in Ghana to Global Oil Price Fluctuations: An Empirical Analysis," SAGE Open, , vol. 14(1), pages 21582440231, March.
  111. Elie, Bouri & Naji, Jalkh & Dutta, Anupam & Uddin, Gazi Salah, 2019. "Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach," Energy, Elsevier, vol. 178(C), pages 544-553.
  112. Huthaifa Alqaralleh & Alessandra Canepa, 2021. "Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach," JRFM, MDPI, vol. 14(7), pages 1-18, July.
  113. Borgards, Oliver & Czudaj, Robert L. & Hoang, Thi Hong Van, 2021. "Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact," Resources Policy, Elsevier, vol. 71(C).
  114. Caporin, Massimiliano & Naeem, Muhammad Abubakr & Arif, Muhammad & Hasan, Mudassar & Vo, Xuan Vinh & Hussain Shahzad, Syed Jawad, 2021. "Asymmetric and time-frequency spillovers among commodities using high-frequency data," Resources Policy, Elsevier, vol. 70(C).
  115. Wu, You & Ren, Wenting & Wan, Jieru & Liu, Xiaoxue, 2023. "Time-frequency volatility connectedness between fossil energy and agricultural commodities: Comparing the COVID-19 pandemic with the Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
  116. Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
  117. Tian, Maoxi & Alshater, Muneer M. & Yoon, Seong-Min, 2022. "Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model," Energy Economics, Elsevier, vol. 115(C).
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