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Showing 1 to 1 of 1 for “"Quantile Connectedness"”.
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Quantile Connectedness and Tail Risks: Interactions between Agricultural and Energy Markets
… and agricultural commodity markets using a quantile vector autoregression (QVAR) model. We investigate connectedness in the futures contract returns of ten commodities, including energy products (crude oil, heating oil, gasoline, natural gas) and agricultural products (corn, soybeans, wheat, …