Coherence, connectedness, dynamic linkages among oil and China's sectoral commodities with portfolio implications

DOI10.1007/S11424-021-0095-3MaRDI QIDQ2165448zbMATH OpenOpenAlexFDO

Authors Jinxin Cui, Hui Wen Zou

Publication date 19 August 2022

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-021-0095-3

zbMATH Keywords

China's sectoral commoditiescrude oilportfolio diversificationsreturn and volatility spilloversTVP-VAR connectedness

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Dynamic integration and network structure of the EMU sovereign bond markets
• Efficient Tests for an Autoregressive Unit Root
• Generalized impulse response analysis in linear multivariate models
• Impulse response analysis in nonlinear multivariate models
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Testing for a unit root in time series regression
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

Cited in

(8)

• Intra-day co-movements of crude oil futures: China and the international benchmarks
• The Demand for Gasoline in China: A Cointegration Analysis
• Including commodity futures in asset allocation in China
• Multi-scale features of interdependence between oil prices and stock prices
• Second-order moment risk connectedness across climate and geopolitical risk and global commodity markets
• Is there commodity connectedness across investment horizons? Evidence using news-based uncertainty indices
• Time-frequency information transmission among financial markets: evidence from implied volatility
• The impact of oil shocks on systemic risk of the commodity markets

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