article Open AccessTop 1% cited
Volatility spillover between oil and agricultural commodity markets
Energy Economics · 2012 · Vol. 36 · pp. 658–665
Şaban Nazlıoğlu✉(Pamukkale University)Cumhur Erdem(Tokat Gaziosmanpaşa Üniversitesi)Uğur Soytaş(Middle East Technical University)
Market Dynamics and VolatilityEnergy, Environment, Economic GrowthEnergy, Environment, and Transportation PoliciesVolatility (finance)EconomicsSpillover effectVector autoregressionCrude oilAgricultureGranger causalityMonetary economicsAgricultural economicsFinancial economics
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References
Impulse response analysis in nonlinear multivariate models
Journal of Econometrics · 1996 · 4,943 citations
Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis
Energy Economics · 2011 · 538 citations
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