OOIR: Observatory of International Research

Papers

(The median citation count of Journal of Commodity Markets is 1. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2020-03-01 to 2024-03-01.)

Article	Citations
Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture	65
Stock market response to potash mine disasters	48
Econometric modelling and forecasting of intraday electricity prices	44
Spillovers among energy commodities and the Russian stock market	33
The impact of economic policy uncertainties on the volatility of European carbon market	23
Spillovers, integration and causality in LME non-ferrous metal markets	22
Idiosyncratic information spillover and connectedness network between the electricity and carbon markets in Europe	22
Comovement in the commodity futures markets: An analysis of the energy, grains, and livestock sectors	19
Realized higher-order moments spillovers between commodity and stock markets: Evidence from China	18
The connectedness in the world petroleum futures markets using a Quantile VAR approach	18
Price discovery in agricultural commodity markets: Do speculators contribute?	16
Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?	15
Do oil and gas price shocks have an impact on bank performance?	14
Safe-haven properties of soft commodities during times of Covid-19	14
Evolution of the information transmission between Chinese and international oil markets: A quantile-based framework	13
Economic drivers of volatility and correlation in precious metal markets	13
Tail dependence, dynamic linkages, and extreme spillover between the stock and China's commodity markets	12
Asymmetric volatility in commodity markets	12
The impact of speculation on commodity prices: A Meta-Granger analysis	12
Forecasting the dynamic relationship between crude oil and stock prices since the 19th century	11
The impact of oil shocks on innovation for alternative sources of energy: Is there an asymmetric response when oil prices go up or down?	11
Cryptocurrency uncertainty and volatility forecasting of precious metal futures markets	10
Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures	10
Accrual earnings management in response to an oil price shock	10
Uncertainty-dependent and sign-dependent effects of oil market shocks	10

Forecasting volatility in commodity markets with long-memory models	9
Are there price asymmetries in the U.S. beef market?	9
The dynamics of oil on China’s commodity sectors: What can we learn from a quantile perspective?	9
When does USDA information have the most impact on crop and livestock markets?	9
Dealing with tail risk in energy commodity markets: Futures contracts versus exchange-traded funds	9
Can gold hedge against oil price movements: Evidence from GARCH-EVT wavelet modeling	9
The quantile dependence of the stock returns of “clean” and “dirty” firms on oil demand and supply shocks	9
Speculation and the informational efficiency of commodity futures markets	8
The sugar-ethanol-oil nexus in Brazil: Exploring the pass-through of international commodity prices to national fuel prices	8
Spillovers beyond the variance: Exploring the higher order risk linkages between commodity markets and global financial markets	7
The impact of the change in USDA announcement release procedures on agricultural commodity futures	7
Predictability in commodity markets: Evidence from more than a century	7
Transportation costs: Mississippi River barge rates	7
Soybean quality differentials, blending, testing and spatial arbitrage	7
Financialization of commodity markets ten years later	7
The effect of oil supply shocks on industry returns	6
How do USDA announcements affect international commodity prices?	6
Short- and long-term forecasting of electricity prices using embedding of calendar information in neural networks	6
New generation grain contracts in corn and soybean commodity markets	6
The asymmetric impact of global economic policy uncertainty on international grain prices	6
The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market	6
Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective	6
The price of crude oil and (conditional) out-of-sample predictability of world industrial production	6
Linkage transitions between oil and the stock markets of countries with the highest COVID-19 cases	6
An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting	6
How far is too far for volatility transmission?	5
Forecasting excess returns of the gold market: Can we learn from stock market predictions?	5
Speculation or actual demand? The return spillover effect between stock and commodity markets	5
Intrinsic decompositions in gold forecasting	5
A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility	5
Common factors and the dynamics of cereal prices. A forecasting perspective	5
Oil price volatility and corporate cash holding	5
The market response to government crop news under different release regimes	4
Anything but gold - The golden constant revisited	4
The sensitivity of oil price shocks to preexisting market conditions: A GVAR analysis	4
Rational destabilization in commodity markets	4
Multi-commodity price risk hedging in the Atlantic salmon farming industry	4
Profit margin hedging in the New Zealand dairy farming industry	4
Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic	4
The first commodity futures index of 1933	3
Fourteen large commodity trading disasters: What happened and what can we learn?	3
Conditional feeder cattle hedge ratios: Cross hedging with fluctuating corn prices	3
Not all gold shines in crisis times — Gold firms, gold bullion and the COVID-19 shock	3
The determinants of the price-earnings ratio in the Norwegian aquaculture industry	3
The “necessary evil” in Chinese commodity markets	3
Causality in the aluminum market	3
Monopolistic supply management in world metals markets: How large was Mount Isa?	3
Raising cane: Hedging calamity in Australian sugar	3
Modelling the evolution of wind and solar power infeed forecasts	2
Robust estimation of conditional risk measures using machine learning algorithm for commodity futures prices in the presence of outliers	2

Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events	2
Volatility in US dairy futures markets	2
Sunshine vs. predatory trading effects in commodity futures markets: New evidence from index rebalancing	2
Exploring volatility of crude oil intraday return curves: A functional GARCH-X model	2
Interfuel substitution: A copula approach	2
Trilogy for troubleshooting convergence: Manipulation, structural imbalance, and storage rates	2
How are climate risk shocks connected to agricultural markets?	2
Precedence rules in matching algorithms	2
Gold as a financial instrument	2
Endogeneity of commodity price in freight cost models	2
Warehouse load-out queues and aluminum prices	2
The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?	2
Bubbles in US gasoline prices: Assessing the role of hurricanes and anti–price gouging laws	2
Quantifying impacts of competition and demand on the risk for fertilizer plant locations	2
Commodity market indicators of a 2023 Texas winter freeze	1
Quantile dependencies and connectedness between stock and precious metals markets	1
The economic impact of daily volatility persistence on energy markets	1
Do the basis and other predictors of futures return also predict spot return with the same signs and magnitudes? Evidence from the LME	1
Psychological price barriers, El Niño, La Niña: New insights for the case of coffee	1
Do spot market auction data help price discovery?	1
Commodity market flexibility and financial derivatives	1
Composite jet fuel cross-hedging	1
Currency crises in emerging countries: The commodity factor	1
Commodity futures hedge ratios: A meta-analysis	1
The impact of financialization on the efficiency of commodity futures markets	1
Analysis of the risk premium in the forward market for salmon	1
The role of higher moments in predicting China's oil futures volatility: Evidence from machine learning models	1
Microstructure and high-frequency price discovery in the soybean complex	1
Commodity markets intervention: Consequences of speculation, and informed trading	1
Product differentiation and dynamics of cost pass-through in the German fish market: An error-correction-distance measure approach	1
Theory of storage implications in the European natural gas market	1
Commodity index risk premium	1
Information effects of monetary policy announcements on oil price	1
Futures commission merchants, customer funds and capital requirements: An organizational analysis of the futures industry	1
Oil–gas price relationships on three continents: Disruptions and equilibria	1
Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?	1
Tracking spot oil: The elusive quest	1
Explaining intraday crude oil returns with higher order risk-neutral moments	1
Commodity momentum: A tale of countries and sectors	1
Time-to-maturity and commodity futures return volatility: The role of time-varying asymmetric information	1
Effects of global liquidity and commodity market shocks in a commodity-exporting developing economy	1
Systemwide directional connectedness from Crude Oil to sovereign credit risk	1
Commodities failing in auctions: The story of unsold cod in Norway	1
Forecasting the U.S. season-average farm price of corn: Derivation of an alternative futures-based forecasting model	1
Mine offtake contracting, strategic alliances and the equity market	1