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Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model

Citations

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Cited by:

  1. Das, Debojyoti & Bhatia, Vaneet & Kumar, Surya Bhushan & Basu, Sankarshan, 2022. "Do precious metals hedge crude oil volatility jumps?," International Review of Financial Analysis, Elsevier, vol. 83(C).
  2. Bouri, Elie & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2021. "Forecasting power of infectious diseases-related uncertainty for gold realized variance," Finance Research Letters, Elsevier, vol. 42(C).
  3. Li, Yingli & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic spillovers of geopolitical risks and gold prices: New evidence from 18 emerging economies," Resources Policy, Elsevier, vol. 70(C).
  4. Rubbaniy, Ghulame & Khalid, Ali Awais & Syriopoulos, Konstantinos & Samitas, Aristeidis, 2022. "Safe-haven properties of soft commodities during times of Covid-19," Journal of Commodity Markets, Elsevier, vol. 27(C).
  5. Ding, Qian & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility," Energy Economics, Elsevier, vol. 102(C).
  6. Ding, Qian & Huang, Jianbai & Gao, Wang & Zhang, Hongwei, 2022. "Does political risk matter for gold market fluctuations? A structural VAR analysis," Research in International Business and Finance, Elsevier, vol. 60(C).
  7. Min Bai & Ly Ho, 2023. "How do gold and oil react to the COVID-19 pandemic: A review," Energy & Environment, , vol. 34(7), pages 2876-2902, November.
  8. Raza, Syed Ali & Masood, Amna & Benkraiem, Ramzi & Urom, Christian, 2023. "Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach," Energy Economics, Elsevier, vol. 120(C).
  9. Gaete, Michael & Herrera, Rodrigo, 2023. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," Journal of Commodity Markets, Elsevier, vol. 32(C).
  10. Jin Shang & Shigeyuki Hamori, 2023. "Differential Tail Dependence between Crude Oil and Forex Markets in Oil-Importing and Oil-Exporting Countries during Recent Crisis Periods," Sustainability, MDPI, vol. 15(19), pages 1-24, October.
  11. Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
  12. Rangan Gupta & Sayar Karmakar & Christian Pierdzioch, 2024. "Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 487-513, July.
  13. Naeem, Muhammad Abubakr & Pham, Linh & Senthilkumar, Arunachalam & Karim, Sitara, 2022. "Oil shocks and BRIC markets: Evidence from extreme quantile approach," Energy Economics, Elsevier, vol. 108(C).
  14. Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Adesina, Oluwaseun A. & Alobaloke, Kafayat A. & Vo, Xuan Vinh, 2022. "Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses," Resources Policy, Elsevier, vol. 79(C).
  15. David Gabauer & Rangan Gupta & Sayar Karmakar & Joshua Nielsen, 2022. "Stock Market Bubbles and the Forecastability of Gold Returns (and Volatility)," Working Papers 202228, University of Pretoria, Department of Economics.
  16. Kamal, Javed Bin & Wohar, Mark & Kamal, Khaled Bin, 2022. "Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?," Resources Policy, Elsevier, vol. 78(C).
  17. Johnson A. Oliyide & Oluwasegun B. Adekoya & Muhammad A. Khan, 2021. "Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension," International Economics, CEPII research center, issue 167, pages 136-150.
  18. Li, Songsong & Zhang, Weiqian & Zhang, Wei, 2023. "Dynamic time-frequency connectedness and risk spillover between geopolitical risks and natural resources," Resources Policy, Elsevier, vol. 82(C).
  19. Aviral Kumar Tiwari & Ibrahim D. Raheem & Seref Bozoklu & Shawkat Hammoudeh, 2022. "The Oil Price‐Macroeconomic fundamentals nexus for emerging market economies: Evidence from a wavelet analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1569-1590, January.
  20. Wang, Xinya & Lucey, Brian & Huang, Shupei, 2022. "Can gold hedge against oil price movements: Evidence from GARCH-EVT wavelet modeling," Journal of Commodity Markets, Elsevier, vol. 27(C).
  21. Mokni, Khaled & Hammoudeh, Shawkat & Ajmi, Ahdi Noomen & Youssef, Manel, 2020. "Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?," Resources Policy, Elsevier, vol. 69(C).
  22. Jinzhi Li, 2026. "Dynamic risk spillovers from crude oil to agricultural commodities: a Markov-switching copula approach," Empirical Economics, Springer, vol. 70(1), pages 1-31, January.
  23. Boubaker, Heni & Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2020. "Global crises and gold as a safe haven: Evidence from over seven and a half centuries of data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
  24. Mohamed Arbi Madani & Zied Ftiti, 2022. "Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach," Annals of Operations Research, Springer, vol. 313(1), pages 367-400, June.
  25. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2020. "Spillovers and co-movements between precious metals and energy markets: Implications on portfolio management," Resources Policy, Elsevier, vol. 69(C).
  26. Kuang, Hewu & Liang, Yiyan & Zhao, Wenjia & Cai, Jiahong, 2023. "Impact of natural resources and technology on economic development and sustainable environment – Analysis of resources-energy-growth-environment linkages in BRICS," Resources Policy, Elsevier, vol. 85(PB).
  27. 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).
  28. Khurshid, Adnan & Khan, Khalid & Rauf, Abdur & Cifuentes-Faura, Javier, 2024. "Effect of geopolitical risk on resources prices in the global and Russian-Ukrainian context: A novel Bayesian structural model," Resources Policy, Elsevier, vol. 88(C).
  29. Mohsin, Muhammad & Jamaani, Fouad, 2023. "Green finance and the socio-politico-economic factors’ impact on the future oil prices: Evidence from machine learning," Resources Policy, Elsevier, vol. 85(PA).
  30. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Bonsu, Christiana Osei & Karikari, Nana Kwasi & Hammoudeh, Shawkat, 2022. "The effects of public sentiments and feelings on stock market behavior: Evidence from Australia," Journal of Economic Behavior & Organization, Elsevier, vol. 193(C), pages 443-472.
  31. Salisu, Afees A. & Gupta, Rangan & Nel, Jacobus & Bouri, Elie, 2022. "The (Asymmetric) effect of El Niño and La Niña on gold and silver prices in a GVAR model," Resources Policy, Elsevier, vol. 78(C).
  32. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
  33. Zhao, Jing, 2023. "Time-varying impact of geopolitical risk on natural resources prices: Evidence from the hybrid TVP-VAR model with large system," Resources Policy, Elsevier, vol. 82(C).
  34. Wang, Mengjiao & Liu, Jianxu, 2025. "Twin commodity shocks: A multi-to-one CoVaR analysis of systemic risk spillovers from gold and crude oil to emerging market currencies," Journal of Commodity Markets, Elsevier, vol. 39(C).
  35. Guliyev, Hasraddin & Mustafayev, Eldayag, 2022. "Predicting the changes in the WTI crude oil price dynamics using machine learning models," Resources Policy, Elsevier, vol. 77(C).
  36. Li, Xiafei & Guo, Qiang & Liang, Chao & Umar, Muhammad, 2023. "Forecasting gold volatility with geopolitical risk indices," Research in International Business and Finance, Elsevier, vol. 64(C).
  37. Dutta, Anupam & Soytas, Ugur & Das, Debojyoti & Bhattacharyya, Asit, 2022. "In search of time-varying jumps during the turmoil periods: Evidence from crude oil futures markets," Energy Economics, Elsevier, vol. 114(C).
  38. Hemrit, Wael & Nakhli, Mohamed Sahbi, 2021. "Insurance and geopolitical risk: Fresh empirical evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 320-334.
  39. Dutta, Anupam & Bouri, Elie & Saeed, Tareq, 2021. "News-based equity market uncertainty and crude oil volatility," Energy, Elsevier, vol. 222(C).
  40. Lee, Chien-Chiang & Wang, Fuhao & Lou, Runchi, 2022. "Digital financial inclusion and carbon neutrality: Evidence from non-linear analysis," Resources Policy, Elsevier, vol. 79(C).
  41. Song, Yu & Song, Yanqiu & Chang, Shiwei & He, Lele, 2024. "The role of gold in terrorism: Risk aversion or financing source?," Resources Policy, Elsevier, vol. 95(C).
  42. Hanif, Waqas & Mensi, Walid & Vo, Xuan Vinh & BenSaïda, Ahmed & Hernandez, Jose Arreola & Kang, Sang Hoon, 2023. "Dependence and risk management of portfolios of metals and agricultural commodity futures," Resources Policy, Elsevier, vol. 82(C).
  43. Yang, Jianlei & Yang, Chunpeng, 2021. "The impact of mixed-frequency geopolitical risk on stock market returns," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 226-240.
  44. Abdullah, Mohammad & Abakah, Emmanuel Joel Aikins & Wali Ullah, G M & Tiwari, Aviral Kumar & Khan, Isma, 2023. "Tail risk contagion across electricity markets in crisis periods," Energy Economics, Elsevier, vol. 127(PB).
  45. Bonato, Matteo & Gupta, Rangan & Lau, Chi Keung Marco & Wang, Shixuan, 2020. "Moments-based spillovers across gold and oil markets," Energy Economics, Elsevier, vol. 89(C).
  46. Feng Ma & Xinjie Lu & Bo Zhu, 2025. "Uncertainty and fluctuation in crude oil price: evidence from machine learning models," Annals of Operations Research, Springer, vol. 345(2), pages 725-755, February.
  47. Zhang, Hongwei & Demirer, Riza & Huang, Jianbai & Huang, Wanjun & Tahir Suleman, Muhammad, 2021. "Economic policy uncertainty and gold return dynamics: Evidence from high-frequency data," Resources Policy, Elsevier, vol. 72(C).
  48. Ma, Yan-Ran & Ji, Qiang & Wu, Fei & Pan, Jiaofeng, 2021. "Financialization, idiosyncratic information and commodity co-movements," Energy Economics, Elsevier, vol. 94(C).
  49. Ahmet Faruk Aysan & Ali Yavuz Polat & Hasan Tekin & Ahmet Semih Tunalı, 2023. "The Ascent of Geopolitics: Scientometric Analysis and Ramifications of Geopolitical Risk," Defence and Peace Economics, Taylor & Francis Journals, vol. 34(6), pages 791-809, August.
  50. Huang, Jianbai & Dong, Xuesong & Zhang, Hongwei & Liu, Jia & Gao, Wang, 2022. "Dynamic and frequency-domain spillover among within and cross-country policy uncertainty, crude oil and gold market: Evidence from US and China," Resources Policy, Elsevier, vol. 78(C).
  51. Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Attention to oil prices and its impact on the oil, gold and stock markets and their covariance," Energy Economics, Elsevier, vol. 120(C).
  52. Yuankui Wang & Xiaoquan Ding & Pengwei Wang & Ziwei Huang, 2024. "Impact of global crisis events on the dependence and risk spillover between gold and crude oil: a regime-switching copula approach," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
  53. Zhang, Jilu & Guxue, Kaicheng, 2024. "Fostering sustainability: Exploring natural resources, mineral resources, and their impact on carbon reduction, economic growth," Resources Policy, Elsevier, vol. 92(C).
  54. Izzeldin, Marwan & Muradoğlu, Yaz Gülnur & Pappas, Vasileios & Sivaprasad, Sheeja, 2021. "The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model," International Review of Financial Analysis, Elsevier, vol. 74(C).
  55. Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan, 2021. "Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data," Energy, Elsevier, vol. 235(C).
  56. Conlon, Thomas & Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2024. "Seeking a shock haven: Hedging extreme upward oil price changes," International Review of Financial Analysis, Elsevier, vol. 94(C).
  57. Cheng, Sheng & Han, Lingyu & Cao, Yan & Jiang, Qisheng & Liang, Ruibin, 2022. "Gold-oil dynamic relationship and the asymmetric role of geopolitical risks: Evidence from Bayesian pdBEKK-GARCH with regime switching," Resources Policy, Elsevier, vol. 78(C).
  58. 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.
  59. Fei Su & Feifan Wang & Yahua Xu, 2025. "Economic Policy Uncertainty and Volatility Spillovers Among International Stock Market Indices During the COVID-19 Outbreak," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(1), pages 237-266, March.
  60. Tamilselvan, M. & Halder, Abhishek & Kannadhasan, M., 2024. "Exploring the ingredients, mixtures, and inclinations of geopolitical risk," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 187-206.
  61. Liao, Jianhui & Zhu, Xuehong & Chen, Jinyu, 2021. "Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies," International Review of Financial Analysis, Elsevier, vol. 77(C).
  62. Liu, Zixin & Hu, Jun & Zhang, Shuguang & He, Zhipeng, 2024. "Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  63. Mo, Bin & Nie, He & Zhao, Rongjie, 2024. "Dynamic nonlinear effects of geopolitical risks on commodities: Fresh evidence from quantile methods," Energy, Elsevier, vol. 288(C).
  64. Li, Yingli & Huang, Jianbai & Gao, Wang & Zhang, Hongwei, 2021. "Analyzing the time-frequency connectedness among oil, gold prices and BRICS geopolitical risks," Resources Policy, Elsevier, vol. 73(C).
  65. Rizvi, Syed Kumail Abbas & Naqvi, Bushra & Mirza, Nawazish & Umar, Muhammad, 2022. "Safe haven properties of green, Islamic, and crypto assets and investor's proclivity towards treasury and gold," Energy Economics, Elsevier, vol. 115(C).
  66. Riza Demirer & Rangan Gupta & Christian Pierdzioch & Syed Jawad Hussain Shahzad, 2021. "A note on oil price shocks and the forecastability of gold realized volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 28(21), pages 1889-1897, December.
  67. Salisu, Afees A. & Gupta, Rangan & Bouri, Elie & Ji, Qiang, 2020. "The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach," Research in International Business and Finance, Elsevier, vol. 54(C).
  68. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Le, TN-Lan & Leyva-de la Hiz, Dante I., 2021. "Markov-switching dependence between artificial intelligence and carbon price: The role of policy uncertainty in the era of the 4th industrial revolution and the effect of COVID-19 pandemic," Technological Forecasting and Social Change, Elsevier, vol. 163(C).
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