This paper proposes a novel quantile vector autoregressive extended joint connectedness framework to examine realized volatilities spillovers between oil and precious metals commodities using daily data from May 1st, 2006 until June 18th, 2021. Our findings suggest that crude oil is the main net...

This study examines the nexus between precious metals (gold and silver) and oil (crude oil and heating oil) realized volatilities introducing a novel quantile extended joint connectedness framework combining quantile vector autoregression (White et al., 2015) with the extended joint...

We show that two types of consumption risk are priced in the equity premium: the risk of aggregate consumption growth and that of changing the composition of the consumption basket, when goods have heterogeneous costs of adjustment. We use the property that the frequency of consumption...