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Volatility spillover between oil and agricultural commodity markets

Nazlıoğlu, Şaban; Erdem, Cumhur; Soytas, Ugur - In: Energy economics 36 (2013), pp. 658-665

Persistent link: https://www.econbiz.de/10009724616

Dynamic spillovers among major energy and cereal commodity prices

Mensi, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong; … - In: Energy economics 43 (2014), pp. 225-243

Persistent link: https://www.econbiz.de/10010504821

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

Barbaglia, Luca; Croux, Christophe; Wilms, Ines - In: Energy economics 85 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012509561

Oil and non-energy commodity markets : an empirical analysis of volatility spillovers and hedging effectiveness

Dutta, Anupam; Noor, Md Hasib - In: Cogent economics & finance 5 (2017) 1, pp. 1-15

Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets. The present study aims to conceal this gap by investigating the volatility cross effects...

Persistent link: https://www.econbiz.de/10011881040