Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis

By Xiaodong Du, Cindy L. Yu, Dermot J. Hayes. 2011

557 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6a35a19183a0b666a58a9317cd07bfc99e9e5c65

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Citations in the corpus

Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, background): “…between the crude oil market and financial markets (e.g., Hassan and Malik, 2007; Lien and Yang, 2008; Malik and Ewing, 2009; Singh et al., 2010; Yilmaz, 2010; Du et al., 2011; He and Chen, 2011; Serra, 2011; Syllignakis et Kouretas, 2011; Arouri et al., 2012; Kumar et al., 2012; Sadorsky, 2012).”
Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre (2020, unknown): “As further developed by Gamba-Santamaria et al. [2017] and Antonakakis et al.”
Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models (2019, unknown): “Du et al. (2011) address spillover and linkage eﬀects of crude oil markets to Corn and Wheat futures.”
Volatility spillover between oil and agricultural commodity markets (2013, background): “The relationship between oil and agricultural prices in terms of oil as a production cost in agriculture was examined by Baffes (2007, 2010), Harri and Hudson (2009), Chang and Su (2010), Alghalith (2010), Du et al. (2011), Alom et al. (2011).”
Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective (2012, background): “Du et al. (2011) investigate the spillover of crude oil price volatility to agricultural markets (specifically corn and wheat).”
Commodity Price Volatility in the Biofuel Era: An Examination of the Linkage between Energy and Agricultural Markets (2010, unknown): “Du, Yu, and Hayes (2009) investigate the spillover of crude oil price volatility to agricultural markets (specifi cally corn and wheat).”
The dynamics of commodity prices (2013, unknown): “In a paper related to ours, Du et al. (2011) estimate a bivariate stochastic volatility model for crude oil and two agricultural markets.”
Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets (2012, background): “Wu, Guan, and Myers (2011) draw conclusions similar to those of Du, Yu, and Hayes (2011) using weekly data from January 1992 to June 2009.”