2022
DOI: 10.3389/fphy.2022.1017009
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Evaluating the connectedness of commodity future markets via the cross-correlation network

Abstract: Financial markets are widely believed to be complex systems where interdependencies exist among individual entities in the system enabling the risk spillover effect. The detrended cross-correlation analysis (DCCA) has found wide applications in examining the comovement of fluctuations among financial time series. However, to what extent can such cross-correlation represent the spillover effect is still unknown. This article constructs the DCCA network of commodity future markets and explores its proximity to t… Show more

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Cited by 3 publications
(2 citation statements)
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“…In the economic sciences, we can identify the application of network science to model index series connections, volatility, and the contagion effect. Hou and Pan (Hou & Pan, 2022) studied various commodities divided into five categories (metals, light products, energy, meat, and grains), coming to the conclusion that networks become increasingly dense over time and the most intense connections occur between different commodities. Santana et al (Santana, Horta, Chambino, et al, 2023) show the main agricultural commodities analyzed in interdependence and contagion studies and highlight the importance of real-time information for decision-making, as well as recognizing the concern for sustainability and energy transition in agricultural economics studies.…”
Section: Literature Reviewmentioning
confidence: 99%
“…In the economic sciences, we can identify the application of network science to model index series connections, volatility, and the contagion effect. Hou and Pan (Hou & Pan, 2022) studied various commodities divided into five categories (metals, light products, energy, meat, and grains), coming to the conclusion that networks become increasingly dense over time and the most intense connections occur between different commodities. Santana et al (Santana, Horta, Chambino, et al, 2023) show the main agricultural commodities analyzed in interdependence and contagion studies and highlight the importance of real-time information for decision-making, as well as recognizing the concern for sustainability and energy transition in agricultural economics studies.…”
Section: Literature Reviewmentioning
confidence: 99%
“…The oil crisis due to oversupply in 2014, the oil price plunge to negative value caused by the COVID-19 epidemic in 2020, and the soaring oil price caused by the impact of the conflict between Russia and Ukraine have greatly impacted the stability of global economic development. China is the world's most prominent emerging market, and the smooth operation of its economy is closely related to the global economic system [5,6]. As one of the countries with the largest demand for oil in the world, China has a relatively high dependence on oil.…”
Section: Introductionmentioning
confidence: 99%