Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak
The spillover effect is a significant factor impacting the volatility of commodity prices. Unlike
earlier studies, this research uses the rolling window-based Quantile VAR (QVAR) model to …
earlier studies, this research uses the rolling window-based Quantile VAR (QVAR) model to …
Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach
This study introduces a novel time-varying parameter vector autoregression (TVP-VAR)
based extended joint connectedness approach in order to characterize connectedness of 11 …
based extended joint connectedness approach in order to characterize connectedness of 11 …
Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 …
This paper investigates the higher-order moment risk connectedness between West Texas
Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures and commodity futures …
Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures and commodity futures …
Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak
NT Hung - Resources policy, 2021 - Elsevier
This paper represents an analysis of the spillover effects and time-frequency connectedness
between crude oil prices and agricultural commodity markets using both the spillover index …
between crude oil prices and agricultural commodity markets using both the spillover index …
Asymmetric effects of energy inflation, agri-inflation and CPI on agricultural output: evidence from NARDL and SVAR models for the UK
This paper investigates the effects of inflation in the UK energy, agriculture and consumer
sectors on agricultural output, using monthly data between February 2015 and October …
sectors on agricultural output, using monthly data between February 2015 and October …
Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications
This paper examines the safe-haven and hedging potential of oil and gold against industrial
metals and agricultural commodities using a novel approach of quantile-on-quantile …
metals and agricultural commodities using a novel approach of quantile-on-quantile …
Dynamic time-frequency connectedness and risk spillover between geopolitical risks and natural resources
S Li, W Zhang, W Zhang - Resources Policy, 2023 - Elsevier
Geopolitical risks (GPR) affect the price of natural resources, which are important for survival
and sustainable economy. Different from previous studies, we examine the relationship …
and sustainable economy. Different from previous studies, we examine the relationship …
[HTML][HTML] Asymmetric effects of market uncertainties on agricultural commodities
The interplay between energy and agricultural commodities and the responses of
agricultural commodities to global uncertainty factors have been receiving increasing …
agricultural commodities to global uncertainty factors have been receiving increasing …
[HTML][HTML] The time-varying impact of geopolitical risk on natural resource prices: The post-COVID era evidence
The geopolitical risk plays a pivotal role in affecting commodity price variations, especially
natural resource commodity prices. Geopolitical risk is sensitive to political environmental …
natural resource commodity prices. Geopolitical risk is sensitive to political environmental …
On the connectedness of commodity markets: A critical and selective survey of empirical studies and bibliometric analysis
The low correlation between commodities and traditional assets, particularly after the crash
of the equity market in the year 2000, is seemingly a major factor influencing global …
of the equity market in the year 2000, is seemingly a major factor influencing global …