Spillover and Drivers of Uncertainty among Oil and Commodity Markets

Spillover and Drivers of Uncertainty among Oil and Commodity Markets

The paper aims to examine the spillover of uncertainty among commodity markets using Diebold–Yilmaz approach based on forecast error variance decomposition. Next, causal impact of global factors as drivers of uncertainty transmission between oil and other commodity markets is analyzed. Our analysis...

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Bibliographic Details
Main Authors: Muhammad Abubakr Naeem, Saqib Farid, Safwan Mohd Nor, Syed Jawad Hussain Shahzad
Format: Article
Language:English
Published: MDPI AG 2021-02-01
Series:Mathematics
Subjects:
uncertainty transmission
commodities
nonlinear causality
global factors
Online Access:https://www.mdpi.com/2227-7390/9/4/441

Internet

https://www.mdpi.com/2227-7390/9/4/441

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