Dynamic spillovers between commodity and currency markets
By Nikolaos Antonakakis, Renatas Kizys. 2015
224 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/1cde595083527986a0ef5e9e04c85eafdfa166d9
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Brian M. Lucey
- Shaen Corbet
- George Filis
- Nikolaos Antonakakis
- David Gabauer
- L. Yarovaya
- C. Larkin
- Sang Hoon Kang
In Renewable Energy, Sustainability and the Environment
- George Filis
- Nikolaos Antonakakis
- David Gabauer
- F. P. Gracia
- Juncal Cunado
- Shaen Corbet
- Brian M. Lucey
- Les Oxley
Citations in the corpus
- Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre (2020, methodology): “Diebold and Yilmaz (2012) used a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to the variable ordering, to provide a measure of both the total and directional volatility spillovers. Using data on US stock, bond, foreign exchange and commod”
- Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications (2017, unknown): “Similar alternative values as robustness tests are also adopted by previous studies in the literature (Diebold and Yilmaz, 2009, 2012, 2014; Chau and Deesomsak, 2014; Antonakakis and Kizys, 2015 among others).”
- The Financial Economics of Gold – A Survey (2015, background): “This is reinforced by Antonakakis and Kizys (2015) in a paper which also looks at oil and currency spillovers.”
- Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, background): “Thus, their models do not capture the direction of spillovers across assets andmarkets (Awartani andMaghyereh, 2013; Antonakakis and Kizys, 2015).”
- Oil volatility, oil and gas firms and portfolio diversification (2018, methodology): “Following Forsberg and Ghysels (2007), Antonakakis and Kizys (2015) and Wang et al. (2016), we define the stock i (oil) price volatility as the absolute return Vit = | lnPit − lnPit−1|, where Pit is the daily closing value of the stock (oil) price on day t.”
- Exploring the dynamic relationships between cryptocurrencies and other financial assets (2018, methodology): “[2010], Antonakakis and Kizys [2015], Lau et al. [2017] using different combinations of the above-mentioned methods.”