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The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes
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- Hemei Li & Zhenya Liu & Shixuan Wang, 2022.
"Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2438-2457, April.
- Hemei Li & Zhenya Liu & Shixuan Wang, 2020. "Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach," Post-Print hal-03513413, HAL.
- Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019. "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, vol. 80(C), pages 524-535.
- Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
- 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).
- 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).
- Mensi, Walid & Lee, Yun-Jung & Vo, Xuan Vinh & Yoon, Seong-Min, 2021. "Quantile connectedness among gold, gold mining, silver, oil and energy sector uncertainty indexes," Resources Policy, Elsevier, vol. 74(C).
- Yoon, Seong-Min, 2022. "On the interdependence between biofuel, fossil fuel and agricultural food prices: Evidence from quantile tests," Renewable Energy, Elsevier, vol. 199(C), pages 536-545.
- Bai, Xiwen, 2021. "Tanker freight rates and economic policy uncertainty: A wavelet-based copula approach," Energy, Elsevier, vol. 235(C).
- Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
- Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2021. "Dynamic frequency relationships and volatility spillovers in natural gas, crude oil, gas oil, gasoline, and heating oil markets: Implications for portfolio management," Resources Policy, Elsevier, vol. 73(C).
- 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).
- Pick Schen Yip & Robert Brooks & Hung Xuan Do & Duc Khuong Nguyen, 2019. "Dynamic Volatility Spillover Effect between Oil and Agricultural Products," Working Papers 2019-009, Department of Research, Ipag Business School.
- 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).
- Kumar, Satish & Tiwari, Aviral & Raheem, Ibrahim & Hille, Erik, 2021. "Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach," MPRA Paper 106684, University Library of Munich, Germany.
- 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.
- Rangan Gupta & Christian Pierdzioch, 2024. "Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices," Working Papers 202423, University of Pretoria, Department of Economics.
- Hung, Ngo Thai, 2021. "Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak," Resources Policy, Elsevier, vol. 73(C).
- Heckelei, T. & Amrouk, E.M. & Grosche, S., 2018. "International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277376, International Association of Agricultural Economists.
- Wang, Kai-Hua & Kan, Jia-Min & Qiu, Lianhong & Xu, Shulin, 2023. "Climate policy uncertainty, oil price and agricultural commodity: From quantile and time perspective," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 256-272.
- Indranil Ghosh & Manas K. Sanyal & R. K. Jana, 2021. "Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 503-527, February.
- Le, Trung Hai & Do, Hung Xuan & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021. "Covid-19 pandemic and tail-dependency networks of financial assets," Finance Research Letters, Elsevier, vol. 38(C).
- 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).
- Naeem, Muhammad & Umar, Zaghum & Ahmed, Sheraz & Ferrouhi, El Mehdi, 2020. "Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
- Ramiah, Vikash & Wallace, Damien & Veron, Jose Francisco & Reddy, Krishna & Elliott, Robert, 2019. "The effects of recent terrorist attacks on risk and return in commodity markets," Energy Economics, Elsevier, vol. 77(C), pages 13-22.
- Indranil Ghosh & Dalton Watts & Subrata Chakraborty, 2022. "Modeling Bivariate Dependency in Insurance Data via Copula: A Brief Study," JRFM, MDPI, vol. 15(8), pages 1-20, July.
- Noureddine Benlagha & Wafa Abdelmalek, 2024. "Dynamic connectedness between energy and agricultural commodities: insights from the COVID-19 pandemic and Russia–Ukraine conflict," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 781-825, September.
- 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).
- Tiwari, Aviral Kumar & Aye, Goodness C. & Gupta, Rangan & Gkillas, Konstantinos, 2020.
"Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model,"
Energy Economics, Elsevier, vol. 88(C).
- Aviral Kumar Tiwari & Goodness C. Aye & Rangan Gupta & Konstantinos Gkillas, 2019. "Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model," Working Papers 201918, University of Pretoria, Department of Economics.
- Meng, Juan & Nie, He & Mo, Bin & Jiang, Yonghong, 2020. "Risk spillover effects from global crude oil market to China’s commodity sectors," Energy, Elsevier, vol. 202(C).
- Chen, Peng & He, Limin & Yang, Xuan, 2021. "On interdependence structure of China's commodity market," Resources Policy, Elsevier, vol. 74(C).
- 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.
- 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.
- Singh, Vipul Kumar & Kumar, Pawan & Nishant, Shreyank, 2019. "Feedback spillover dynamics of crude oil and global assets indicators: A system-wide network perspective," Energy Economics, Elsevier, vol. 80(C), pages 321-335.
- Ji, Hao & Wang, Hao & Zhong, Rui & Li, Min, 2020. "China's liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach," Economic Modelling, Elsevier, vol. 93(C), pages 187-204.
- 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).
- Aviral Kumar Tiwari & Micheal Kofi Boachie & Tahir Suleman & Rangan Gupta, 2020. "Structure Dependence between Oil and Agricultural Commodities Returns: The Role of Geopolitical Risks," Working Papers 202079, University of Pretoria, Department of Economics.
- Wang, Hao & Dong, Yizhe & Sun, Mingli & Shi, Baofeng & Ji, Hao, 2024. "Dynamic dependence of futures basis between the Chinese and international grains markets," Economic Modelling, Elsevier, vol. 130(C).
- Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Trabelsi, Nader & Wohar, Mark, 2024. "Do shipping freight markets impact commodity markets?," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 986-1014.
- Ji, Qiang & Bouri, Elie & Roubaud, David & Shahzad, Syed Jawad Hussain, 2018. "Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model," Energy Economics, Elsevier, vol. 75(C), pages 14-27.
- Athanasios Tsagkanos & Aarzoo Sharma & Bikramaditya Ghosh, 2022. "Green Bonds and Commodities: A New Asymmetric Sustainable Relationship," Sustainability, MDPI, vol. 14(11), pages 1-16, June.
- Li, Xiafei & Wei, Yu, 2018. "The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method," Energy Economics, Elsevier, vol. 74(C), pages 565-581.
- Loretta Mastroeni & Alessandro Mazzoccoli & Greta Quaresima & Pierluigi Vellucci, 2021. "Wavelet analysis and energy-based measures for oil-food price relationship as a footprint of financialisation effect," Papers 2104.11891, arXiv.org, revised Mar 2022.
- Yaya, OlaOluwa S. & Gil-Alana, Luis A. & Adekoya, Oluwasegun B. & Vo, Xuan Vinh, 2021.
"How fearful are commodities and US stocks in response to global fear? Persistence and cointegration analyses,"
Resources Policy, Elsevier, vol. 74(C).
- Yaya, OlaOluwa S. & Gil-Alana, Luis A. & Adekoya, Oluwasegun B. & Vo, Xuan Vinh, 2021. "How fearful are Commodities and US stocks in response to Global fear? Persistence and Cointegration analyses," MPRA Paper 109829, University Library of Munich, Germany.
- Bernardina Algieri & Arturo Leccadito, 2020. "CARL and His POT: Measuring Risks in Commodity Markets," Risks, MDPI, vol. 8(1), pages 1-15, March.
- Naeem, Muhammad Abubakr & Hasan, Mudassar & Arif, Muhammad & Suleman, Muhammad Tahir & Kang, Sang Hoon, 2022. "Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications," Energy Economics, Elsevier, vol. 105(C).
- 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).
- 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).
- Hanif, Waqas & Areola Hernandez, Jose & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2021. "Tail dependence risk and spillovers between oil and food prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 195-209.
- Luo, Jiawen & Marfatia, Hardik A. & Ji, Qiang & Klein, Tony, 2023. "Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets," Energy Economics, Elsevier, vol. 117(C).
- Liya Hau & Huiming Zhu & Muhammad Shahbaz & Ke Huang, 2023. "Quantile Dependence between Crude Oil and China’s Biofuel Feedstock Commodity Market," Sustainability, MDPI, vol. 15(11), pages 1-17, June.
- Chi Zhang, 2024. "Dynamics of energy and biofuel markets in the context of rising oil prices," Agribusiness, John Wiley & Sons, Ltd., vol. 40(4), pages 866-884, October.
- 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).
- Dejan Živkov & Petra Balaban & Boris Kuzman, 2021. "How to combine precious metals with corn in a risk-minimizing two-asset portfolio?," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(2), pages 60-69.
- 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).
- Pal, Debdatta & Mitra, Subrata K., 2019. "Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops," Economic Modelling, Elsevier, vol. 82(C), pages 453-466.
- Jiang, Yonghong & Lao, Jiashun & Mo, Bin & Nie, He, 2018. "Dynamic linkages among global oil market, agricultural raw material markets and metal markets: An application of wavelet and copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 265-279.
- Han, Xuyuan & Liu, Zhenya & Wang, Shixuan, 2022. "An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting," Journal of Commodity Markets, Elsevier, vol. 25(C).
- 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).
- Zhou, Xiaoran & Enilov, Martin & Parhi, Mamata, 2024. "Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets," Energy Economics, Elsevier, vol. 132(C).
- Jain, Prachi & Maitra, Debasish, 2023. "Risk implications of dependence in the commodities: A copula-based analysis," Global Finance Journal, Elsevier, vol. 57(C).
- 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).
- Bouri, Elie & Gupta, Rangan & Hosseini, Seyedmehdi & Lau, Chi Keung Marco, 2018. "Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model," Emerging Markets Review, Elsevier, vol. 34(C), pages 124-142.
- Al-Yahyaee, Khamis Hamed & Mensi, Walid & Maitra, Debasish & Al-Jarrah, Idries Mohammad Wanas, 2019. "Portfolio management and dependencies among precious metal markets: Evidence from a Copula quantile-on-quantile approach," Resources Policy, Elsevier, vol. 64(C).
- Hau, Liya & Zhu, Huiming & Huang, Rui & Ma, Xiang, 2020. "Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression," Energy, Elsevier, vol. 213(C).
- Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2022. "The relationship between carbon-intensive fuel and renewable energy stock prices under the emissions trading system," Energy Economics, Elsevier, vol. 114(C).
- Tiwari, Aviral Kumar & Khalfaoui, Rabeh & Solarin, Sakiru Adebola & Shahbaz, Muhammad, 2018.
"Analyzing the time-frequency lead–lag relationship between oil and agricultural commodities,"
Energy Economics, Elsevier, vol. 76(C), pages 470-494.
- Aviral Kumar Tiwari & Rabeh Khalfaoui & Sakiru Adebola Solarin & Muhammad Shahbaz, 2018. "Analyzing the time-frequency lead–lag relationship between oil and agricultural commodities," Post-Print hal-03797590, HAL.
- Clark Lundberg & Tristan Skolrud & Bahram Adrangi & Arjun Chatrath, 2021. "Oil Price Pass through to Agricultural Commodities†," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 721-742, March.
- Hu, Min & Zhang, Dayong & Ji, Qiang & Wei, Lijian, 2020. "Macro factors and the realized volatility of commodities: A dynamic network analysis," Resources Policy, Elsevier, vol. 68(C).
- Yahya, Muhammad & Oglend, Atle & Dahl, Roy Endré, 2019. "Temporal and spectral dependence between crude oil and agricultural commodities: A wavelet-based copula approach," Energy Economics, Elsevier, vol. 80(C), pages 277-296.
- 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.
- Khanh Hoang & Cuong C. Nguyen & Kongchheng Poch & Thang X. Nguyen, 2020. "Does Bitcoin Hedge Commodity Uncertainty?," JRFM, MDPI, vol. 13(6), pages 1-14, June.