Dynamic connectedness and portfolio strategies: Energy and metal markets

Impact of COVID-19 on the quantile connectedness between energy, metals and agriculture commodities

“…On the other hand, global market integration and the financialization of commodity markets have led to increased price volatilities and speculation, which serves as the channel for the transmission of risk and return spillovers across different commodity classes. Since the interconnections among different commodities hold significant implications related to business cycle analysis, asset allocation, and risk management, therefore a large body of literature has documented the causal relationships between different commodity markets (e.g., Rehman et al, 2018 ; Zhang and Broadstock, 2018 ; Kang et al, 2019 ; Ji et al, 2020 ; Mandacı et al, 2020 ; Tiwari et al, 2020 ).…”

The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak

“…However, coal and natural gas are also two kinds of major energy to economic development ( Lovcha and Perez-Laborda, 2020 ). Similarly, industrial metals such as copper and aluminum are considered as widely traded commodities ( Evrim Mandacı et al, 2020 ). Therefore, we consider not only oil and precious metals but also natural gas, coal, copper and aluminum.…”

Volatility Connectedness between Clean Energy Firms and Crude Oil in the COVID-19 Era

“…The objective of this research is to investigate the volatility spillovers between oil price volatility and the volatility prices of major energy clean companies (wind, solar and technology) in the period from January 2011 to June 2020. To this purpose, we follow the [24,25] approach. In particular, using the spillover index framework of [26,27], and the dynamic conditional correlation (DCC) model proposed by [28], we are able to (1) identify the transmission of volatility shocks between oil price and clean energy companies; (2) provide investors and portfolio managers with optimal hedging and portfolio diversification strategies.…”