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Information Flows Between the U.S. and China Commodity Futures Trading
16 references·16 citing·29 second hopsampled
Information Flows Between the U.S. and China Commodity Futures Trading (2003)Information Flows Between the U.S. and Ch…Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System (2000)Multivariate GARCH Modeling o…Who Moves the Asia‐Pacific Stock Markets—US or Japan? Empirical Evidence Based on the Theory of Cointegration (1999)Who Moves the Asia‐Pacific St…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets (1995)Cointegration, Error Correcti…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE (1993)MEAN AND VOLATILITY SPILLOVER…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…International Transmission of Stock Market Movements (1989)International Transmission of…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Price Movements and Price Discovery in Futures and Cash Markets (1983)Price Movements and Price Dis…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Republic of China (1978)Republic of ChinaA Review of China's Financial Markets (2022)A Review of China's Financial…An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting (2021)An R-vine copula analysis of …Return and volatility transmission between China's and international crude oil futures markets: A first look (2020)Return and volatility transmi…Price discovery in chinese agricultural futures markets: A comprehensive look (2020)Price discovery in chinese ag…The untold story of commodity futures in China (2019)The untold story of commodity…The implementation of an adjusted relative strength index model in foreign currency and energy markets of emerging and developed economies (2019)The implementation of an adju…Speculative activity and returns volatility of Chinese agricultural commodity futures (2017)Speculative activity and retu…Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures (2016)Spillovers and Directional Pr…Volatility spillovers in commodity markets (2013)Volatility spillovers in comm…Exogenous Shocks and Information Transmission in Global Copper Futures Markets (2013)Exogenous Shocks and Informat…A leader of the world commodity futures markets in the making? The case of China's commodity futures (2013)A leader of the world commodi…The effect of monetary policy on real estate price growth in China (2011)The effect of monetary policy…The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets (2010)The information flow and mark…Intraday return and volatility spill-over across international copper futures markets (2009)Intraday return and volatilit…The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM (2008)The dynamic relationships bet…China financial research: A review and synthesis (2006)China financial research: A r…ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)The Interest Rate Parity Theorem: A Reinterpretation (1973)Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve (2004)The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality (2008)Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust) (2009)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Transactions, Volume, and Volatility (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Theory of rational option pricing (2005)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)Econometric Analysis of Cross Section and Panel Data (2001)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1983Price Movements and Price Discovery in Futures and Cash Markets641 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada499 cited
  • 1978Republic of China376 cited
  • 1995Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets366 cited
  • 1993MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE313 cited

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  • 1999Who Moves the Asia‐Pacific Stock Markets—US or Japan? Empirical Evidence Based on the Theory of Cointegration234 cited
  • 2000Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System189 cited
  • Cited by

    • 2011The effect of monetary policy on real estate price growth in China185 cited
    • 2020Price discovery in chinese agricultural futures markets: A comprehensive look110 cited
    • 2020Return and volatility transmission between China's and international crude oil futures markets: A first look102 cited
    • 2013Volatility spillovers in commodity markets88 cited
    • 2022A Review of China's Financial Markets81 cited
    • 2006China financial research: A review and synthesis73 cited
    • 2010The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets69 cited
    • 2016Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures67 cited
    • 2019The untold story of commodity futures in China65 cited
    • 2013A leader of the world commodity futures markets in the making? The case of China's commodity futures59 cited
    • 2017Speculative activity and returns volatility of Chinese agricultural commodity futures48 cited
    • 2019The implementation of an adjusted relative strength index model in foreign currency and energy markets of emerging and developed economies32 cited
    • 2013Exogenous Shocks and Information Transmission in Global Copper Futures Markets25 cited
    • 2021An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting24 cited
    • 2008The dynamic relationships between gold futures markets: evidence from COMEX and TOCOM24 cited
    • 2009Intraday return and volatility spill-over across international copper futures markets23 cited