Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era
Author:
Affiliation:
1. College of Business, Zayed University, United Arab Emirates
2. Department of Economic and Business Sciences, University of Castilla-La Mancha, Albacete, Spain
Funder
Ministerio de Economia, Industria y Competitividad, Gobierno de Espana
Universidad de Castilla-La Mancha
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2021.1973949
Reference73 articles.
1. How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques
2. How index investment impacts commodities: A story about the financialization of agricultural commodities
3. Coronavirus and Financial Volatility: 40 Days of Fasting and Fear
4. Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies
5. Uncertainty and crude oil returns
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