{"id":"https://openalex.org/W4237295867","doi":"https://doi.org/10.3386/w23685","title":"Commodity Connectedness","display_name":"Commodity Connectedness","publication_year":2017,"publication_date":"2017-08-01","ids":{"openalex":"https://openalex.org/W4237295867","doi":"https://doi.org/10.3386/w23685"},"language":"en","primary_location":{"id":"doi:10.3386/w23685","doi":"https://doi.org/10.3386/w23685","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w23685","pdf_url":"https://doi.org/10.3386/w23685","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},"volume":null,"type":"report","is_traditional":false,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.3386/w23685","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5084412348","display_name":"Francis X. Diebold","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I1351752","display_name":"Ko\u00e7 University","ror":"https://ror.org/00jzwgz36","country_code":"TR","type":"education","lineage":["https://openalex.org/I1351752"]},{"id":"https://openalex.org/I79576946","display_name":"University of Pennsylvania","ror":"https://ror.org/00b30xv10","country_code":"US","type":"education","lineage":["https://openalex.org/I79576946"]}],"countries":["TR","US"],"is_corresponding":false,"raw_author_name":"Francis Diebold","raw_affiliation_strings":["Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia , PA 19104-6297 and","Department of Economics Koc University Rumelifeneri Yolu, Sariyer Istanbul 34450","Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia, PA 19104","Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia, PA 19104-6297","NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","NBER Working"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia , PA 19104-6297 and","institution_ids":["https://openalex.org/I79576946"]},{"raw_affiliation_string":"Department of Economics Koc University Rumelifeneri Yolu, Sariyer Istanbul 34450","institution_ids":["https://openalex.org/I1351752"]},{"raw_affiliation_string":"Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia, PA 19104","institution_ids":["https://openalex.org/I79576946"]},{"raw_affiliation_string":"Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia, PA 19104-6297","institution_ids":["https://openalex.org/I79576946"]},{"raw_affiliation_string":"NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"NBER Working","institution_ids":["https://openalex.org/I1321305853"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101837755","display_name":"Laura Liu","orcid":"https://orcid.org/0000-0002-4217-5752","observed_orcids":["https://orcid.org/0000-0002-4217-5752"]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I1351752","display_name":"Ko\u00e7 University","ror":"https://ror.org/00jzwgz36","country_code":"TR","type":"education","lineage":["https://openalex.org/I1351752"]},{"id":"https://openalex.org/I79576946","display_name":"University of Pennsylvania","ror":"https://ror.org/00b30xv10","country_code":"US","type":"education","lineage":["https://openalex.org/I79576946"]}],"countries":["TR","US"],"is_corresponding":false,"raw_author_name":"Laura Liu","raw_affiliation_strings":["Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia, PA 19104","Department of Economics Koc University Rumelifeneri Yolu, Sariyer Istanbul 34450","Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia, PA 19104-6297","NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","NBER Working"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia, PA 19104","institution_ids":["https://openalex.org/I79576946"]},{"raw_affiliation_string":"Department of Economics Koc University Rumelifeneri Yolu, Sariyer Istanbul 34450","institution_ids":["https://openalex.org/I1351752"]},{"raw_affiliation_string":"Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia, PA 19104-6297","institution_ids":["https://openalex.org/I79576946"]},{"raw_affiliation_string":"NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"NBER Working","institution_ids":["https://openalex.org/I1321305853"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101432482","display_name":"Kamil Y\u0131lmaz","orcid":"https://orcid.org/0000-0003-2455-2099","observed_orcids":["https://orcid.org/0000-0003-2455-2099"]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I1351752","display_name":"Ko\u00e7 University","ror":"https://ror.org/00jzwgz36","country_code":"TR","type":"education","lineage":["https://openalex.org/I1351752"]},{"id":"https://openalex.org/I79576946","display_name":"University of Pennsylvania","ror":"https://ror.org/00b30xv10","country_code":"US","type":"education","lineage":["https://openalex.org/I79576946"]}],"countries":["TR","US"],"is_corresponding":false,"raw_author_name":"Kamil Yilmaz","raw_affiliation_strings":["Department of Economics Koc University Rumelifeneri Yolu, Sariyer Istanbul 34450","Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia, PA 19104","Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia, PA 19104-6297","NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","NBER Working"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics Koc University Rumelifeneri Yolu, Sariyer Istanbul 34450","institution_ids":["https://openalex.org/I1351752"]},{"raw_affiliation_string":"Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia, PA 19104","institution_ids":["https://openalex.org/I79576946"]},{"raw_affiliation_string":"Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia, PA 19104-6297","institution_ids":["https://openalex.org/I79576946"]},{"raw_affiliation_string":"NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"NBER Working","institution_ids":["https://openalex.org/I1321305853"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":122,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.8579000234603882,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.8579000234603882,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.1404999941587448,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11898","display_name":"Economics of Agriculture and Food Markets","score":0.0005000000237487257,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/dynamic-connectedness","display_name":"dynamic connectivity","score":0.6480000019073486},{"id":"https://openalex.org/keywords/energy-commodities","display_name":"energy commodities","score":0.640999972820282},{"id":"https://openalex.org/keywords/industrial-metals","display_name":"industrial metals","score":0.8730000257492065},{"id":"https://openalex.org/keywords/precious-metals","display_name":"precious metals","score":1.0},{"id":"https://openalex.org/keywords/network-analysis","display_name":"network analysis","score":0.5590000152587891}],"concepts":[{"id":"https://openalex.org/C201943243","wikidata":"https://www.wikidata.org/wiki/Q7551008","display_name":"Social connectedness","level":2,"score":0.7686641216278076},{"id":"https://openalex.org/C2779439359","wikidata":"https://www.wikidata.org/wiki/Q317088","display_name":"Commodity","level":2,"score":0.6581431031227112},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.45200106501579285},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.33571168780326843},{"id":"https://openalex.org/C15744967","wikidata":"https://www.wikidata.org/wiki/Q9418","display_name":"Psychology","level":0,"score":0.09782266616821289},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0},{"id":"https://openalex.org/C542102704","wikidata":"https://www.wikidata.org/wiki/Q183257","display_name":"Psychotherapist","level":1,"score":0.0}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.3386/w23685","doi":"https://doi.org/10.3386/w23685","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w23685","pdf_url":"https://doi.org/10.3386/w23685","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},{"id":"pmh:oai:RePEc:pen:papers:17-003","doi":null,"is_oa":false,"landing_page_url":"https://economics.sas.upenn.edu/sites/default/files/filevault/SSRN%2017_003.pdf","pdf_url":"https://economics.sas.upenn.edu/sites/default/files/filevault/SSRN%2017_003.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:RePEc:chb:bcchsb:v25c04pp097-136","doi":null,"is_oa":false,"landing_page_url":"https://si2.bcentral.cl/public/pdf/banca-central/pdf/v25/SBCV25pp097-136.pdf","pdf_url":"https://si2.bcentral.cl/public/pdf/banca-central/pdf/v25/SBCV25pp097-136.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null},{"id":"pmh:oai:RePEc:nbr:nberwo:23685","doi":null,"is_oa":true,"landing_page_url":"http://www.nber.org/papers/w23685.pdf","pdf_url":"http://www.nber.org/papers/w23685.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:RePEc:zbw:cfswop:575","doi":null,"is_oa":false,"landing_page_url":"https://www.econstor.eu/bitstream/10419/169386/1/898376807.pdf","pdf_url":"https://www.econstor.eu/bitstream/10419/169386/1/898376807.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:econstor.eu:10419/169386","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10419/169386","pdf_url":null,"source":{"id":"https://openalex.org/S4306401696","display_name":"Econstor (Econstor)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"doc-type:workingPaper"},{"id":"pmh:oai:publikationen.ub.uni-frankfurt.de:43861","doi":null,"is_oa":false,"landing_page_url":"http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/43861","pdf_url":null,"source":{"id":"https://openalex.org/S4306400432","display_name":"Publication Server of Goethe University Frankfurt am Main (Goethe University Frankfurt)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I114090438","host_organization_name":"Goethe University Frankfurt","host_organization_lineage":["https://openalex.org/I114090438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"workingpaper"}],"best_oa_location":{"id":"doi:10.3386/w23685","doi":"https://doi.org/10.3386/w23685","is_oa":true,"landing_page_url":"https://doi.org/10.3386/w23685","pdf_url":"https://doi.org/10.3386/w23685","source":{"id":"https://openalex.org/S2809516038","display_name":"National Bureau of Economic Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":["https://openalex.org/P4322614461"],"host_organization_lineage_names":["National Bureau of Economic Research"],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"National Bureau of Economic Research","raw_type":"report"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4237295867.pdf","grobid_xml":"https://content.openalex.org/works/W4237295867.grobid-xml"},"referenced_works_count":23,"referenced_works":["https://openalex.org/W613760598","https://openalex.org/W1963787328","https://openalex.org/W1969610664","https://openalex.org/W2050815921","https://openalex.org/W2129817318","https://openalex.org/W2155187653","https://openalex.org/W2272350035","https://openalex.org/W2538434611","https://openalex.org/W2954947899","https://openalex.org/W3020982786","https://openalex.org/W3022414451","https://openalex.org/W3121364726","https://openalex.org/W3122186884","https://openalex.org/W3123503831","https://openalex.org/W3124194226","https://openalex.org/W3125171617","https://openalex.org/W3125412410","https://openalex.org/W3125666236","https://openalex.org/W4239396689","https://openalex.org/W4256136180","https://openalex.org/W4301750805","https://openalex.org/W4302044450","https://openalex.org/W6679245142"],"related_works":["https://openalex.org/W3119989519","https://openalex.org/W4407059015","https://openalex.org/W7103884984","https://openalex.org/W3180105929","https://openalex.org/W2510342906","https://openalex.org/W3111360474","https://openalex.org/W4391697260","https://openalex.org/W3204752178","https://openalex.org/W4390052314","https://openalex.org/W3133939297"],"abstract_inverted_index":{"We":[0],"use":[1],"variance":[2],"decompositions":[3],"from":[4,33],"high-dimensional":[5],"vector":[6],"autoregressions":[7],"to":[8,64],"characterize":[9],"connectedness":[10],"in":[11,59],"19":[12],"key":[13],"commodity":[14],"return":[15],"volatilities,":[16],"2011-2016.We":[17],"study":[18],"both":[19],"static":[20],"(fullsample)":[21],"and":[22,27,66,70],"dynamic":[23],"(rolling-sample)":[24],"connectedness.We":[25],"summarize":[26],"visualize":[28],"the":[29],"results":[30,36],"using":[31],"tools":[32],"network":[34],"analysis.The":[35],"reveal":[37],"clear":[38],"clustering":[39],"of":[40,61],"commodities":[41],"into":[42],"groups":[43],"that":[44],"match":[45],"traditional":[46],"industry":[47],"groupings,":[48],"but":[49],"with":[50],"some":[51],"notable":[52],"differences.The":[53],"energy":[54],"sector":[55],"is":[56],"most":[57],"important":[58],"terms":[60],"sending":[62],"shocks":[63],"others,":[65],"energy,":[67],"industrial":[68],"metals,":[69],"precious":[71],"metals":[72],"are":[73],"themselves":[74],"tightly":[75],"connected.":[76]},"counts_by_year":[{"year":2026,"cited_by_count":13},{"year":2025,"cited_by_count":17},{"year":2024,"cited_by_count":12},{"year":2023,"cited_by_count":20},{"year":2022,"cited_by_count":21},{"year":2021,"cited_by_count":14},{"year":2020,"cited_by_count":9},{"year":2019,"cited_by_count":8},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2014,"cited_by_count":1}],"updated_date":"2026-11-11T12:16:26.678958","created_date":"2022-05-12T00:00:00"}