OOIR: Observatory of International Research

Papers

(The median citation count of Journal of Commodity Markets is 2. 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 2020-11-01 to 2024-11-01.)

Article	Citations
Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture	79
Stock market response to potash mine disasters	53
Spillovers among energy commodities and the Russian stock market	48
The impact of economic policy uncertainties on the volatility of European carbon market	31
Realized higher-order moments spillovers between commodity and stock markets: Evidence from China	31
The connectedness in the world petroleum futures markets using a Quantile VAR approach	27
Idiosyncratic information spillover and connectedness network between the electricity and carbon markets in Europe	27
Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures	20
Safe-haven properties of soft commodities during times of Covid-19	20
Cryptocurrency uncertainty and volatility forecasting of precious metal futures markets	19
Do oil and gas price shocks have an impact on bank performance?	19
Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?	18
Economic drivers of volatility and correlation in precious metal markets	18
Evolution of the information transmission between Chinese and international oil markets: A quantile-based framework	18
Financialization of commodity markets ten years later	16
Asymmetric volatility in commodity markets	15
Accrual earnings management in response to an oil price shock	15
Tail dependence, dynamic linkages, and extreme spillover between the stock and China's commodity markets	15
Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective	14
Can gold hedge against oil price movements: Evidence from GARCH-EVT wavelet modeling	14
The impact of speculation on commodity prices: A Meta-Granger analysis	13
Dealing with tail risk in energy commodity markets: Futures contracts versus exchange-traded funds	12
Uncertainty-dependent and sign-dependent effects of oil market shocks	12
Forecasting volatility in commodity markets with long-memory models	12
Oil price volatility and corporate cash holding	12

The dynamics of oil on China’s commodity sectors: What can we learn from a quantile perspective?	12
Predictability in commodity markets: Evidence from more than a century	12
Forecasting the dynamic relationship between crude oil and stock prices since the 19th century	12
When does USDA information have the most impact on crop and livestock markets?	11
The asymmetric impact of global economic policy uncertainty on international grain prices	10
Are there price asymmetries in the U.S. beef market?	10
Speculation and the informational efficiency of commodity futures markets	10
Spillovers beyond the variance: Exploring the higher order risk linkages between commodity markets and global financial markets	10
The sugar-ethanol-oil nexus in Brazil: Exploring the pass-through of international commodity prices to national fuel prices	10
How are climate risk shocks connected to agricultural markets?	10
Speculation or actual demand? The return spillover effect between stock and commodity markets	9
Short- and long-term forecasting of electricity prices using embedding of calendar information in neural networks	8
The quantile dependence of the stock returns of “clean” and “dirty” firms on oil demand and supply shocks	8
The impact of the change in USDA announcement release procedures on agricultural commodity futures	8
How do USDA announcements affect international commodity prices?	8
An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting	8
Linkage transitions between oil and the stock markets of countries with the highest COVID-19 cases	7
Profit margin hedging in the New Zealand dairy farming industry	7
How far is too far for volatility transmission?	7
Quantile dependencies and connectedness between stock and precious metals markets	7
Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic	7
Not all gold shines in crisis times — Gold firms, gold bullion and the COVID-19 shock	7
Transportation costs: Mississippi River barge rates	7
The effect of oil supply shocks on industry returns	7
New generation grain contracts in corn and soybean commodity markets	6
Exploring volatility of crude oil intraday return curves: A functional GARCH-X model	6
The price of crude oil and (conditional) out-of-sample predictability of world industrial production	6
Unveiling interconnectedness: Exploring higher-order moments among energy, precious metals, industrial metals, and agricultural commodities in the context of geopolitical risks and systemic stress	6
Intrinsic decompositions in gold forecasting	6
Bubbles in US gasoline prices: Assessing the role of hurricanes and anti–price gouging laws	5
Anything but gold - The golden constant revisited	5
Common factors and the dynamics of cereal prices. A forecasting perspective	5
The first commodity futures index of 1933	5
A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility	5
Tail risk spillover effects in commodity markets: A comparative study of crisis periods	5
Gold as a financial instrument	5
The sensitivity of oil price shocks to preexisting market conditions: A GVAR analysis	4
Mine offtake contracting, strategic alliances and the equity market	4
Are shocks in the stock markets driven by commodity markets? Evidence from Russia-Ukraine war	4
Multi-commodity price risk hedging in the Atlantic salmon farming industry	4
Rational destabilization in commodity markets	4
Time-to-maturity and commodity futures return volatility: The role of time-varying asymmetric information	4
The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?	4
The “necessary evil” in Chinese commodity markets	4
Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events	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
Endogeneity of commodity price in freight cost models	3
Causality in the aluminum market	3
Systemwide directional connectedness from Crude Oil to sovereign credit risk	3

The evolution of commodity market financialization: Implications for portfolio diversification	3
Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?	3
Raising cane: Hedging calamity in Australian sugar	3
A review of the literature on LNG: Hubs development, market integration, and price discovery	3
Commodity index risk premium	3
Logistics competition between the U.S. and Brazil for soybean shipments to China: An optimized Monte Carlo simulation approach	3
The impact of financialization on the efficiency of commodity futures markets	3
Quantifying impacts of competition and demand on the risk for fertilizer plant locations	3
Quantile coherency across bonds, commodities, currencies, and equities	3
Volatility in US dairy futures markets	3
Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumers	3
Commodity market indicators of a 2023 Texas winter freeze	2
Stress from attention: The relationship between climate change attention and crude oil markets	2
How does carbon market interact with energy and sectoral stocks? Evidence from risk spillover and wavelet coherence	2
World regional natural gas prices: Convergence, divergence or what? New evidence	2
Four Commitments of Traders Reports puzzles, revisited: Answers from grains and oilseeds futures markets	2
Forecasting the price of oil: A cautionary note	2
Interfuel substitution: A copula approach	2
Currency crises in emerging countries: The commodity factor	2
Robust estimation of conditional risk measures using machine learning algorithm for commodity futures prices in the presence of outliers	2
Sunshine vs. predatory trading effects in commodity futures markets: New evidence from index rebalancing	2
Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility	2
Commodity momentum: A tale of countries and sectors	2
Modelling the evolution of wind and solar power infeed forecasts	2
Explaining intraday crude oil returns with higher order risk-neutral moments	2
Theory of storage implications in the European natural gas market	2
Warehouse load-out queues and aluminum prices	2
Information effects of monetary policy announcements on oil price	2
Monopolistic supply management in world metals markets: How large was Mount Isa?	2
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels	2
Time-varying and multi-scale analysis of copper price influencing factors based on LASSO and EMD methods	2
The economic impact of daily volatility persistence on energy markets	2
Effects of global liquidity and commodity market shocks in a commodity-exporting developing economy	2
Commodities failing in auctions: The story of unsold cod in Norway	2
Did grain futures prices overreact to the Russia–Ukraine war due to herding?	2
Wheat price volatility regimes over 140 years: An analysis of daily price ranges	2