IDEAS home Printed from https://ideas.repec.org/r/eee/eneeco/v85y2020ics0140988319303500.html

Volatility spillovers in commodity markets: A large t-vector autoregressive approach

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Yang, Lanyong & Zhu, Yongguang & Li, Junhui & Dou, Shiquan & Liu, Gang & Xu, Deyi, 2025. "The midstream amplifier: Risk spillovers in China's lithium supply chain from mining to batteries," Journal of Commodity Markets, Elsevier, vol. 38(C).
  2. Ellington, Michael, 2022. "Fat tails, serial dependence, and implied volatility index connections," European Journal of Operational Research, Elsevier, vol. 299(2), pages 768-779.
  3. 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.
  4. Umar, Zaghum & Manel, Youssef & Riaz, Yasir & Gubareva, Mariya, 2021. "Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  5. Tadahiro Nakajima & Yuki Toyoshima, 2020. "Examination of the Spillover Effects among Natural Gas and Wholesale Electricity Markets Using Their Futures with Different Maturities and Spot Prices," Energies, MDPI, vol. 13(7), pages 1-14, March.
  6. Vo, Long Hai & Le, Thai-Ha, 2021. "Eatery, energy, environment and economic system, 1970–2017: Understanding volatility spillover patterns in a global sample," Energy Economics, Elsevier, vol. 100(C).
  7. Vipul Kumar Singh & Pawan Kumar, 2026. "Crude oil and soft commodities volatility spillover patterns and portfolio diversification strategies in times of oil crises," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 12(1), pages 1-37, December.
  8. Blanc-Blocquel, Augusto & Ortiz-Gracia, Luis & Oviedo, Rodolfo, 2024. "Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 225(C), pages 430-445.
  9. 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).
  10. Sun, Yanpeng & Mirza, Nawazish & Qadeer, Abdul & Hsueh, Hsin-Pei, 2021. "Connectedness between oil and agricultural commodity prices during tranquil and volatile period. Is crude oil a victim indeed?," Resources Policy, Elsevier, vol. 72(C).
  11. 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.
  12. Zhang, Hongwei & Jin, Chen & Bouri, Elie & Gao, Wang & Xu, Yahua, 2023. "Realized higher-order moments spillovers between commodity and stock markets: Evidence from China," Journal of Commodity Markets, Elsevier, vol. 30(C).
  13. Guo, Li-Yang & Feng, Chao, 2021. "Are there spillovers among China's pilots for carbon emission allowances trading?," Energy Economics, Elsevier, vol. 103(C).
  14. 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.
  15. Romain Menier & Guillaume Bagnarosa & Alexandre Gohin, 2024. "On the dependence structure of European vegetable oil markets," Post-Print hal-04523660, HAL.
  16. Ben Amar, Amine & Bouattour, Mondher & Bellalah, Makram & Goutte, Stéphane, 2023. "Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
  17. Yishan Ding & Dongwei He & Jun Wu & Xiang Xu, 2022. "Crude Oil Spot Price Forecasting Using Ivanov‐Based LASSO Vector Autoregression," Complexity, John Wiley & Sons, vol. 2022(1).
  18. K. Abhaya Kumar & Prakash Pinto & Iqbal Thonse Hawaldar & Saheem Shaikh & Shravan Bhagav & B. Padmanabha, 2022. "Investigating the Nexus between Crude Oil Price and Stock Prices of Oil Exploration Companies," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 40-47, July.
  19. Jin, Yujia & Zhang, Ailian & Liu, Bai, 2025. "Risk contagion among renewable energy, fossil energy and agricultural commodity markets: Insights from dynamic networks," Economic Analysis and Policy, Elsevier, vol. 87(C), pages 1361-1378.
  20. Kamocsai, László & Ormos, Mihály, 2025. "Modeling gasoline price volatility," Finance Research Letters, Elsevier, vol. 73(C).
  21. 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).
  22. 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).
  23. Amar, Amine Ben & Goutte, Stéphane & Isleimeyyeh, Mohammad & Benkraiem, Ramzi, 2022. "Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?," International Review of Financial Analysis, Elsevier, vol. 82(C).
  24. Apergis, Nicholas, 2023. "Realized higher-order moments spillovers across cryptocurrencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  25. Chen, Hao & Xu, Chao & Peng, Yun, 2022. "Time-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China," Resources Policy, Elsevier, vol. 78(C).
  26. 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).
  27. Li, Houjian & Li, Yanjiao & Guo, Lili, 2023. "Extreme risk spillover effect and dynamic linkages between uncertainty and commodity markets: A comparison between China and America," Resources Policy, Elsevier, vol. 85(PA).
  28. Chen, Yan & Bouri, Elie & Zhang, Lei, 2025. "Dynamics of co-bubble networks across commodity futures prices and portfolio performance," Energy Economics, Elsevier, vol. 150(C).
  29. Chuliá, Helena & Klein, Tony & Muñoz Mendoza, Jorge A. & Uribe, Jorge M., 2024. "Vulnerability of European electricity markets: A quantile connectedness approach," Energy Policy, Elsevier, vol. 184(C).
  30. 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).
  31. Amine Ben Amar & Amir Hasnaoui & Nabil Boubrahimi & Ilham Dkhissi & Makram Bellalah, 2024. "Deciphering volatility spillovers amidst crises: analyzing the interplay among commodities, equities and socially responsible investments during the COVID-19 shock and financial turbulence," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 25(4), pages 629-645, May.
  32. 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).
  33. Salah Uddin, Gazi & Lucey, Brian & Rahman, Md Lutfur & Stenvall, David, 2024. "Quantile coherency across bonds, commodities, currencies, and equities," Journal of Commodity Markets, Elsevier, vol. 33(C).
  34. Chen, Xiangyu & Tongurai, Jittima, 2024. "Price spillovers and interdependences in China's agricultural commodity futures market: Evidence from the US-China trade dispute," International Review of Economics & Finance, Elsevier, vol. 96(PA).
  35. Kamocsai, László & Ormos, Mihály, 2026. "Modeling and forecasting commodity price volatility using a common leverage factor," The North American Journal of Economics and Finance, Elsevier, vol. 82(C).
  36. 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).
  37. Jena, Sangram Keshari & Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Hammoudeh, Shawkat, 2022. "The connectedness in the world petroleum futures markets using a Quantile VAR approach," Journal of Commodity Markets, Elsevier, vol. 27(C).
  38. Mutaju Isaack Marobhe & Jonathan Mukiza Peter Kansheba, 2023. "High frequency volatility spillover between oil and non-energy commodities during crisis and tranquil periods," SN Business & Economics, Springer, vol. 3(4), pages 1-27, April.
  39. Mishra, Aswini Kumar & Arunachalam, Vairam & Olson, Dennis & Patnaik, Debasis, 2023. "Dynamic connectedness in commodity futures markets during Covid-19 in India: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 82(C).
  40. Hachicha, Néjib & Ben Amar, Amine & Ben Slimane, Ikrame & Bellalah, Makram & Prigent, Jean-Luc, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," International Review of Financial Analysis, Elsevier, vol. 83(C).
  41. Murè, Pina & Paccione, Cosimo & Marzioni, Stefano & Giorgio, Saverio, 2024. "How electricity and natural gas prices affect banking systemic risk," Research in International Business and Finance, Elsevier, vol. 72(PA).
  42. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Multiscale spillovers, connectedness, and portfolio management among precious and industrial metals, energy, agriculture, and livestock futures," Resources Policy, Elsevier, vol. 74(C).
  43. Lin, Anlan & Gong, Xu, 2025. "Does public climate attention affect the net return spillover from energy to non-energy commodities?," Energy Economics, Elsevier, vol. 143(C).
  44. 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).
  45. Adeleke, Musefiu A. & Awodumi, Olabanji B. & Adewuyi, Adeolu O., 2022. "Return and volatility connectedness among commodity markets during major crises periods: Static and dynamic analyses with asymmetries," Resources Policy, Elsevier, vol. 79(C).
  46. Ben Amar, Amine & Goutte, Stéphane & Isleimeyyeh, Mohammad, 2022. "Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 386-400.
  47. Liping Zheng & Ziwei Liang & Jiaoting Yi & Yuhan Zhu, 2025. "Analyzing Systemic Risk Spillover Networks Through a Time-Frequency Approach," Mathematics, MDPI, vol. 13(13), pages 1-27, June.
  48. Abricha, Amal & Ben Amar, Amine & Bellalah, Makram, 2024. "Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 229-246.
  49. 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.
  50. Gong, Xu & Xu, Jun, 2022. "Geopolitical risk and dynamic connectedness between commodity markets," Energy Economics, Elsevier, vol. 110(C).
  51. Derick Quintino & Cristiane Ogino & Inzamam Ul Haq & Paulo Ferreira & Márcia Oliveira, 2023. "An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis," Energies, MDPI, vol. 16(5), pages 1-14, February.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.