Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis-Reference-Cited by-同舟云学术

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Quantifying spillovers and connectedness among commodities and cryptocurrencies: Evidence from a Quantile-VAR analysis

Published:2024-03 Issue: Volume:33 Page:100385
ISSN:2405-8513
Container-title:Journal of Commodity Markets
language:en
Short-container-title:Journal of Commodity Markets

Author:

Kyriazis Nikolaos^ORCID,Papadamou Stephanos^ORCID,Tzeremes Panayiotis^ORCID,Corbet Shaen^ORCID

Publisher

Elsevier BV

Reference61 articles.

1. Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China;Ahmed;Energy Econ.,2021

2. The influence of bitcoin on portfolio diversification and design;Akhtaruzzaman;Finance Res. Lett.,2020

3. The relationship between implied volatility and cryptocurrency returns;Akyildirim;Finance Res. Lett.,2020

4. Quantile connectedness: modeling tail behavior in the topology of financial networks;Ando;Manage. Sci.,2022

5. Distribution of the kurtosis statistic b2 for normal samples;Anscombe;Biometrika,1983

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