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Price volatility in food markets: can stock building mitigate price fluctuations?
16 references·2 citing·44 second hop
Price volatility in food markets: can stock building mitigate price fluctuations? (2012)Price volatility in food markets: can sto…Volatility spillovers between food and energy markets: A semiparametric approach (2011)Volatility spillovers between…The Economics of Grain Price Volatility (2011)The Economics of Grain Price …Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Speculation and volatility sp…Price volatility in ethanol markets (2010)Price volatility in ethanol m…Nonlinearities in the U.S. corn-ethanol-oil-gasoline price system (2010)Nonlinearities in the U.S. co…Bayesian Estimation and Selection of Nonlinear Vector Error Correction Models: The Case of the Sugar‐Ethanol‐Oil Nexus in Brazil (2008)Bayesian Estimation and Selec…Anatomy of a crisis: the causes and consequences of surging food prices (2008)Anatomy of a crisis: the caus…Regime switching for dynamic correlations (2006)Regime switching for dynamic …Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries (2004)Predicting the volatility of …Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Local polynomial estimators of the volatility function in nonparametric autoregression (1997)Local polynomial estimators o…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…A Test for Multivariate Normality in Stock Returns (1993)A Test for Multivariate Norma…On the Behaviour of Commodity Prices (1992)On the Behaviour of Commodity…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…The Economic Role of Commodity Storage (1982)The Economic Role of Commodit…Modeling regime‐dependent agricultural commodity price volatilities (2017)Modeling regime‐dependent agr…Volatile and Extreme Food Prices, Food Security, and Policy: An Overview (2016)Volatile and Extreme Food Pri…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Rational Expectations and the Theory of Price Movements (1961)Manias, Panics, and Crashes: A History of Financial Crises (1979)Export Restrictions and Price Insulation During Commodity Price Booms (2011)Biofuel-related price transmission literature: A review (2013)Drivers and triggers of international food price spikes and volatility (2013)Semiparametric ARCH Models (1991)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 (2005)How Big Is the Random Walk in GNP? (1988)Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes? (1997)Facts and Fantasies about Commodity Futures (2006)Financialization of Commodity Markets (2013)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood (2004)Structural breaks and GARCH models of exchange rate volatility (2008)A Note On Rising Food Prices (2008)Food versus fuel: What do prices tell us? (2009)How to Understand High Food Prices (2010)Rethinking the global food crisis: The role of trade shocks (2010)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Financialization, crisis and commodity correlation dynamics (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Volatility spillover between oil and agricultural commodity markets (2012)Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)On the links between stock and commodity markets' volatility (2013)
this work references cited by second hop

References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1992On the Behaviour of Commodity Prices1,154 cited
  • 2008Anatomy of a crisis: the causes and consequences of surging food prices725 cited
  • 2011Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis550 cited
  • 2011The Economics of Grain Price Volatility426 cited
  • 2006Regime switching for dynamic correlations414 cited
  • 1997Local polynomial estimators of the volatility function in nonparametric autoregression259 cited
  • 2004Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries251 cited
  • 1982The Economic Role of Commodity Storage239 cited
  • 2010Nonlinearities in the U.S. corn-ethanol-oil-gasoline price system220 cited
  • 2011Volatility spillovers between food and energy markets: A semiparametric approach219 cited
  • 1993A Test for Multivariate Normality in Stock Returns205 cited
  • 2010Price volatility in ethanol markets187 cited

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  • 2008Bayesian Estimation and Selection of Nonlinear Vector Error Correction Models: The Case of the Sugar‐Ethanol‐Oil Nexus in Brazil183 cited
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    • 2016Volatile and Extreme Food Prices, Food Security, and Policy: An Overview81 cited
    • 2017Modeling regime‐dependent agricultural commodity price volatilities30 cited