Pham, Linh; Bin Kamal, Javed - In: Journal of commodity markets : JCM 34 (2024), pp. 1-37
commodities markets, and explore how climate change concerns affect this connectedness. Using the Conditional Autoregressive Value-at-Risk … reveals several key findings. First, our tail risk-based approach shows that tail risks transmission rises during crisis …, play an important role in commodity tail risk connectedness. These findings are important for investors, practitioners, and …