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    Risk spillovers and diversification benefits between crude oil and agricultural commodity futures markets
    (Elsevier Ltd., 2025) Mensi, Walid; Rehman, Mobeen Ur; Gök, Remzi; Gemi̇ci̇, Eray; Vo, Xuan Vinh
    This study examines the dependence structure and risk spillovers between crude oil and eight major agricultural futures (wheat, corn, soybean coffee, cotton, lumber, cocoa, and live cattle) markets. It also analyzes the potential conditional diversification benefits using a variety of copula functions and Conditional Value at Risk (CoVaR) measure. The results show significant crisis-sensitive and temporal dependence between oil and agricultural markets. Moreover, crude oil shows a symmetric tail dependence with both wheat, corn, soybeans, and cotton futures, whereas oil exhibits an average dependence with coffee. A strong dependence is observed between oil and cocoa (lumber) during bearish (bullish) market conditions. Oil and Live cattle have a symmetric dependence during bearish and bullish market conditions. On the other hand, we find asymmetric and bidirectional risk spillovers from oil to agricultural markets. Furthermore, the wheat futures contract appears to be the most dominating and vulnerable asset to oil price shocks, followed by lumber and corn futures, respectively, while the live cattle contracts are the least. Finally, an equally weighted portfolio offers the highest diversification benefits at a 5 % expected shortfall.
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    Tail risk contagion and connectedness between crude oil, natural gas, heating oil, precious metals, and international stock markets
    (Elsevier B.V., 2025) Mensi, Walid; Gök, Remzi; Gemici, Eray; Kang, Sang Hoon
    We apply the qunatile vector autoregression (QVAR) connectedness and frequency causality methods to investigate tail risk contagion, quantile dependency, and causality linkages among the spot prices of equity, precious metals, and energy commodity markets between 2002 and 2024. Our findings indicate that the average amount of unexpected losses for stock markets is lower than that for other markets. Furthermore, our analysis of tail risk spillovers shows that downside risks are primarily driven by the contributions of others, with the most significant impact occurring when the tail risk is at its lowest. The total downside risks associated with connectedness are greater for lower quantiles and stock markets typically serve as the primary transmitters of shocks across all quantiles. During financial crises, heterogeneous and event-dependent risk spillovers strengthen, but not during pandemics or geopolitical incidents. © 2024