Tail risk spillover effects in commodity markets: A comparative study of crisis periods

Author:

Naeem Muhammad AbubakrORCID,Hamouda FouedORCID,Karim SitaraORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference67 articles.

1. Dynamic spillovers and portfolio risk management between defi and metals: empirical evidence from the Covid-19;Ali;Resour. Pol.,2023

2. Modelling systemic risk of energy and non-energy commodity markets during the COVID-19 pandemic;Anwer;Ann. Oper. Res.,2022

3. Dealing with tail risk in energy commodity markets: futures contracts versus exchange-traded funds;Arunanondchai;Journal of Commodity Markets,2020

4. Spillover network of commodity uncertainties;Balli;Energy Econ.,2019

5. Measuring extreme risk dependence between the oil and gas markets;Ben Ameur;Ann. Oper. Res.,2022

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