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Estimating the connectedness of commodity futures using a network approach

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Cited by:

  1. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  2. 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).
  3. Youtao Xiang & Sumuya Borjigin, 2024. "High–low volatility spillover network between economic policy uncertainty and commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(8), pages 1295-1319, August.
  4. Siddique, Md Abubakar & Nobanee, Haitham & Karim, Sitara & Naz, Farah, 2022. "Investigating the role of metal and commodity classes in overcoming resource destabilization," Resources Policy, Elsevier, vol. 79(C).
  5. Qi Xu & Yang Ye, 2023. "Commodity network and predictable returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1423-1449, October.
  6. Gong, Xu & Xu, Jun & Liu, Tangyong & Zhou, Zicheng, 2022. "Dynamic volatility connectedness between industrial metal markets," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  7. Balcilar, Mehmet & Elsayed, Ahmed H. & Hammoudeh, Shawkat, 2023. "Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis1," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  8. Rehman, Mobeen Ur & Vo, Xuan Vinh & Ko, Hee-Un & Ahmad, Nasir & Kang, Sang Hoon, 2023. "Quantile connectedness between Chinese stock and commodity futures markets," Research in International Business and Finance, Elsevier, vol. 64(C).
  9. Zhuo Chen & Bo Yan & Hanwen Kang, 2022. "Dynamic correlation between crude oil and agricultural futures markets," Review of Development Economics, Wiley Blackwell, vol. 26(3), pages 1798-1849, August.
  10. Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
  11. Nong, Huifu & Liu, Hongxiao, 2023. "Measuring the frequency and quantile connectedness between policy categories and global oil price," Resources Policy, Elsevier, vol. 83(C).
  12. Tongshuai Qiao & Liyan Han, 2023. "COVID‐19 and tail risk contagion across commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 242-272, February.
  13. Ren, Xiaohang & Li, Yiying & Sun, Xianming & Bu, Ruijun & Jawadi, Fredj, 2023. "Modeling extreme risk spillovers between crude oil and Chinese energy futures markets," Energy Economics, Elsevier, vol. 126(C).
  14. Gerveni, Maria & Serra, Teresa & Irwin, Scott H. & Hubbs, Todd, 2023. "Price connectedness in U.S. ethanol terminal markets," Energy Economics, Elsevier, vol. 124(C).
  15. Chiang, Shu-hen & Chen, Chien-Fu, 2022. "From systematic to systemic risk among G7 members: Do the stock or real estate markets matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  16. Yan-Hong Yang & Ying-Hui Shao & Wei-Xing Zhou, 2024. "Quantile connectedness across BRICS and international grain futures markets: Insights from the Russia-Ukraine conflict," Papers 2409.19307, arXiv.org.
  17. 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.
  18. Tian, Tingting & Lai, Kee-hung & Wong, Christina W.Y., 2022. "Connectedness mechanisms in the “Carbon-Commodity-Finance” system: Investment and management policy implications for emerging economies," Energy Policy, Elsevier, vol. 169(C).
  19. Farid, Saqib & Naeem, Muhammad Abubakr & Paltrinieri, Andrea & Nepal, Rabindra, 2022. "Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities," Energy Economics, Elsevier, vol. 109(C).
  20. Gong, Xu & Xu, Jun, 2022. "Geopolitical risk and dynamic connectedness between commodity markets," Energy Economics, Elsevier, vol. 110(C).
  21. 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).
  22. Ye Chen & Jian Li & Qiyuan Li, 2023. "Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 910-937, August.
  23. Mehmet Balcilar & Ojonugwa Usman & Busra Agan, 2024. "On the connectedness of commodity markets: A critical and selective survey of empirical studies and bibliometric analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 38(1), pages 97-136, February.
  24. Jian Yang & Zheng Li & Hong Miao, 2021. "Volatility spillovers in commodity futures markets: A network approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1959-1987, December.
  25. Kristína Hudecová & Miroslava Rajčániová, 2023. "The impact of geopolitical risk on agricultural commodity prices," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(4), pages 129-139.
  26. Xu Zhang & Xian Yang & Jianping Li & Jun Hao, 2023. "Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 705-733, June.
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