This paper analyzes dynamic volatility spillovers between four major energy commodities
(ie, crude oil, gasoline, heating oil and natural gas) in the oil-natural gas future markets. We …

The strong volatility spillover between crude oil and agricultural commodity markets reduces
the diversification benefits and implies costly risk management process faced by portfolio …

This paper seeks to explore the factors contributing to the return co-movement dynamics in
the international commodity markets. We first adopt a minimum spanning tree (MST) …

This paper analyzes the volatility patterns of oil and natural gas prices in the United States
and how they have changed due to economic policy uncertainty in the pre-and post-shale …

Using the framework of Diebold and Yilmaz (2012, 2014), we examine the spillovers of
informational shocks and the connectedness in China's base metals futures and spot …

This paper investigates the impact of the Russia–Ukraine war on the transmission of
volatility among financial markets. We first demonstrate that the Russia–Ukraine war …

This paper investigates permanent and transitory spillover effects from Brent oil futures to
four agricultural futures–corn, wheat, soybean and canola. We construct permanent and …

We reveal the macroeconomic determinants of the dynamic correlations between three
global asset markets: equities, real estate, and commodities. Conditional equicorrelations …

In this study, we aim to investigate the role of the liquidity risk channel in affecting the
dynamic conditional correlations (DCCs) between the US municipal green bonds and risky …

This paper focuses on three “safe haven” assets (gold, oil, and the Swiss Franc) and
examines the impact of recent financial crises and some macroeconomic variables on their …