Commodity market downturn: Systemic risk and spillovers during left tail events
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DOI: 10.1016/j.jcomm.2024.100445
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More about this item
Keywords
Energy commodities; Israeli-Palestinian Conflict; Precious metals; Russia-Ukraine War; Systemic risk; Tail risk;All these keywords.
JEL classification:
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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