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Original Articles

Volatility spillovers in commodity markets

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Pages 1211-1227 | Published online: 14 Jun 2013

Keep up to date with the latest research on this topic with citation updates for this article.

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Naoufal Nassili, Arnaud Simon & Richard Malle. (2023) Connectedness structure of Pan-European Equity REITs. Journal of Property Research 40:3, pages 274-310.
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Gazi Salah Uddin, Jose Arreola Hernandez, Anupam Dutta, Sang Hoon Kang & Seong-Min Yoon. (2020) Impact of food price volatility on the US restaurant sector. Applied Economics 52:39, pages 4250-4262.
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Robert Powell, Duc H. Vo & Thach N. Pham. (2019) Cattle as a consistently resilient agricultural commodity. Applied Economics 51:55, pages 5911-5922.
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Hahn Shik Lee & Woo Suk Lee. (2018) Housing market volatility connectedness among G7 countries. Applied Economics Letters 25:3, pages 146-151.
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Adil Ahmad shah, Niyati Bhanja & Arif Billah Dar. (2023) Do gold and the US dollar diversify global sectoral risk? Evidence from connectedness and dynamic conditional correlation measures. The Journal of Economic Asymmetries 28, pages e00304.
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Zynobia Barson & Peterson Owusu Junior. (2023) Connectedness in cross-assets and digital assets attention indices. Heliyon 9:10, pages e20668.
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Yinghui Ding, Shan Chen, Haoran Li, Qingru Sun, Hanyu Chen & Hui Yu. (2023) Causality inference among base metal, rare metal and precious metal markets. Resources Policy 85, pages 104058.
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Ran Lu, Wen Xu, Hongjun Zeng & Xiangjing Zhou. (2023) Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario. Economic Analysis and Policy 78, pages 1465-1481.
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Bin Liu, Wen Xiao & Xingting Zhu. (2023) How does inter-industry spillover improve the performance of volatility forecasting?. The North American Journal of Economics and Finance 65, pages 101878.
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Yanchu Liu, Haowen Tang, Yuheng Liang & Liang Xu. (2023) Volatility Spillover of Indexed Commodities: Characteristics and Determinants. SSRN Electronic Journal.
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Monika Papież, Michał Rubaszek, Karol Szafranek & Sławomir Śmiech. (2022) Are European natural gas markets connected? A time-varying spillovers analysis. Resources Policy 79, pages 103029.
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Sanjay Kumar Rout & Hrushikesh Mallick. (2022) Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period. Asia-Pacific Financial Markets 29:4, pages 697-734.
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Xu Gong, Jun Xu, Tangyong Liu & Zicheng Zhou. (2022) Dynamic volatility connectedness between industrial metal markets. The North American Journal of Economics and Finance 63, pages 101814.
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Néjib Hachicha, Amine Ben Amar, Ikrame Ben Slimane, Makram Bellalah & Jean-Luc Prigent. (2022) Dynamic connectedness and optimal hedging strategy among commodities and financial indices. International Review of Financial Analysis 83, pages 102290.
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Amine Ben Amar, Stéphane Goutte & Mohammad Isleimeyyeh. (2022) Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets. The Quarterly Review of Economics and Finance 85, pages 386-400.
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Małgorzata Just & Krzysztof Echaust. (2022) Dynamic spillover transmission in agricultural commodity markets: What has changed after the COVID-19 threat?. Economics Letters 217, pages 110671.
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Amine Ben Amar, Stéphane Goutte, Mohammad Isleimeyyeh & Ramzi Benkraiem. (2022) Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?. International Review of Financial Analysis 82, pages 102190.
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Muhammad Faisal Akbar & Izma Fahria. (2022) Study on Identification and Projection of Food Commodity Price Cycles during the COVID-19 Pandemic Period as a Study of Supervision Aspects of Food Product Marketing in Bangka Belitung. Society 10:1, pages 45-64.
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Geert Dhaene, Piet Sercu & Jianbin Wu. (2022) Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets. Journal of Futures Markets 42:5, pages 868-887.
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Xiangyu Chen & Jittima Tongurai. (2022) Spillovers and interdependency across base metals: Evidence from China's futures and spot markets. Resources Policy 75, pages 102479.
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Yorgos D. Marinakis & Reilly White. (2022) Hyperinflation potential in commodity-currency trading systems: Implications for sustainable development. Sustainable Technology and Entrepreneurship 1:1, pages 100003.
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Radu Lupu, Adrian Cantemir Călin, Cristina Georgiana Zeldea & Iulia Lupu. (2021) Systemic Risk Spillovers in the European Energy Sector. Energies 14:19, pages 6410.
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Mehmet Balcilar, David Gabauer & Zaghum Umar. (2021) Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy 73, pages 102219.
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Mila Andreani, Vincenzo Candila, Giacomo Morelli & Lea Petrella. (2021) Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach. Risks 9:8, pages 144.
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Massimiliano Caporin, Muhammad Abubakr Naeem, Muhammad Arif, Mudassar Hasan, Xuan Vinh Vo & Syed Jawad Hussain Shahzad. (2021) Asymmetric and time-frequency spillovers among commodities using high-frequency data. Resources Policy 70, pages 101958.
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Sercan Demiralay, Nikolaos Hourvouliades & Athanasios Fassas. (2020) Dynamic co-movements and directional spillovers among energy futures. Studies in Economics and Finance 37:4, pages 673-696.
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Cetin Ciner, Brian Lucey & Larisa Yarovaya. (2020) Spillovers, integration and causality in LME non-ferrous metal markets. Journal of Commodity Markets 17, pages 100079.
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Kedong Yin, Zhe Liu & Xue Jin. (2020) Interindustry volatility spillover effects in China’s stock market. Physica A: Statistical Mechanics and its Applications 539, pages 122936.
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Sławomir Śmiech, Monika Papież, Kamil Fijorek & Marek A. Dąbrowski. (2019) What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets. Economics 13:1.
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Lu Liu & Xiang Zhang. (2019) Financialization and commodity excess spillovers. International Review of Economics & Finance 64, pages 195-216.
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Sang Hoon Kang & Seong-Min Yoon. (2019) Financial crises and dynamic spillovers among Chinese stock and commodity futures markets. Physica A: Statistical Mechanics and its Applications 531, pages 121776.
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Takashi Miyazaki. (2019) Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions. Journal of Risk and Financial Management 12:1, pages 33.
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Debasish MaitraVarun Dawar. (2018) Return and Volatility Spillover among Commodity Futures, Stock Market and Exchange Rate: Evidence from India. Global Business Review 20:1, pages 214-237.
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Helena ChuliáDolores FurióJorge M. Uribe. (2023) Volatility Spillovers in Energy Markets. The Energy Journal 40:3, pages 173-197.
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M. Kamisli, S. Kamisli & F. Temizel. 2019. Blockchain Economics and Financial Market Innovation. Blockchain Economics and Financial Market Innovation 293 318 .
Gang-Jin Wang, Chi Xie, Longfeng Zhao & Zhi-Qiang Jiang. (2018) Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?. Journal of International Financial Markets, Institutions and Money 57, pages 205-230.
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Kirithiga S.Naresh G.Thiyagarajan S.. (2018) Spillover between commodity and equity benchmarking indices. Benchmarking: An International Journal 25:7, pages 2512-2530.
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José Da Fonseca & Katrin Gottschalk. (2018) The Co-Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia-Pacific Markets. International Review of Finance.
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Jerome Collet & Florian Ielpo. (2018) Sector spillovers in credit markets. Journal of Banking & Finance 94, pages 267-278.
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Yusaku Nishimura & Bianxia Sun. (2018) The intraday volatility spillover index approach and an application in the Brexit vote. Journal of International Financial Markets, Institutions and Money 55, pages 241-253.
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TAKASHI MIYAZAKI & SHIGEYUKI HAMORI. (2018) THE DETERMINANTS OF A SIMULTANEOUS CRASH IN GOLD AND STOCK MARKETS: AN ORDERED LOGIT APPROACH. Annals of Financial Economics 13:01, pages 1850004.
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Robert J. Powell, Duc H. Vo, Thach N. Pham & Abhay K. Singh. (2017) The long and short of commodity tails and their relationship to Asian equity markets. Journal of Asian Economics 52, pages 32-44.
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Georgios Magkonis & Dimitris A. Tsouknidis. (2017) Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest. International Review of Financial Analysis 52, pages 104-118.
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Jozef Barun�k, Ev�en Kocenda & Luk� V�cha. (2015) Volatility Spillovers Across Petroleum Markets. The Energy Journal 36:3.
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Monika Papież, Michał Rubaszek, Karol Szafranek & Sławomir Śmiech. (2022) Are European Natural Gas Markets Connected? A Time-Varying Spillovers Analysis. SSRN Electronic Journal.
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Monika Papież, Michał Rubaszek, Karol Szafranek & Sławomir Śmiech. (2022) Are European Natural Gas Markets Connected? A Time-Varying Spillovers Analysis. SSRN Electronic Journal.
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Georgios Magkonis. (2017) Dynamic Spillover Effects across Petroleum Spot and Futures Volatilities, Trading Volume and Open Interest. SSRN Electronic Journal.
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Jerome Collet & Florian Ielpo. (2017) Sector Spillovers in Credit Markets. SSRN Electronic Journal.
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Jozef Barunik, Evzen Kocenda & Lukas Vacha. (2015) Volatility Spillovers Across Petroleum Markets. SSRN Electronic Journal.
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Jozef Barunik, Evzen Kocenda & Lukas Vacha. (2014) How Does Bad and Good Volatility Spill Over Across Petroleum Markets?. SSRN Electronic Journal.
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Brian M. Lucey. (2013) Return and Volatility Spillovers in Industrial Metals. SSRN Electronic Journal.
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