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The Myth of Co-Moving Commodity Prices
12 references·1 citing·38 second hop
The Myth of Co-Moving Commodity Prices (2003)The Myth of Co-Moving Commodity PricesFurther Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Concordance in Business Cycles (2002)Concordance in Business CyclesDissecting the Cycle (1999)Dissecting the CycleBooms and Slumps in World Commodity Prices (1999)Booms and Slumps in World Com…Booms and Slumps in World Commodity Prices (1999)Booms and Slumps in World Com…The excess co-movement of commodity prices reconsidered (1996)The excess co-movement of com…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…The Excess Co-Movement of Commodity Prices (1990)The Excess Co-Movement of Com…South African political unrest, oil prices, and the time varying risk premium in the gold futures market (1990)South African political unres…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Stochastic Speculative Price (1971)Stochastic Speculative PriceMeasuring Business Cycles. (1948)Measuring Business Cycles.FORECAST FOR AGRICULTURAL COMMODITY FUTURES: THE ROLE OF HIGH FREQUENCY DATA (2012)FORECAST FOR AGRICULTURAL COM…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Testing for a Unit Root in Time Series Regression (1988)A power GARCH examination of the gold market (2006)Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis (2016)Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model (2017)Multivariate Simultaneous Generalized ARCH (1995)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Copula Modeling: An Introduction for Practitioners (2007)Is there co-movement of agricultural commodities futures prices and crude oil? (2011)Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment (2016)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)ARCH modeling in finance (1992)On the Behaviour of Commodity Prices (1992)Detrending and business cycle facts (1998)Fund Assistance for Countries Facing Exogenous Shocks (2003)This Time is Different: A Panoramic View of Eight Centuries of Financial Crises (2008)A development curse: formal vs informal activities in resource-dependent economies (2014)Survey of current business (1921)Measuring Business Cycles (1947)Commodity Prices and Growth in Africa (1999)Dissecting the cycle: a methodological investigation (2002)How do business and financial cycles interact? (2011)Residual-based tests for cointegration in models with regime shifts (1996)The Quarterly Journal of Economics (2024)Saving in Developing Countries: Theory and Review (1989)Market integration among electricity markets and their major fuel source markets (2009)The empirical relevance of the competitive storage model (2009)Understanding business cycles (1977)Real Business Cycles (1983)Principles of Forecasting (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Market Integration and Contagion (2005)Index Investment and the Financialization of Commodities (2012)
this work references cited by second hop

References

  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,774 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,248 cited
  • 1990The Excess Co-Movement of Commodity Prices769 cited
  • 1948Measuring Business Cycles.576 cited
  • 1999Booms and Slumps in World Commodity Prices314 cited
  • 1971Stochastic Speculative Price151 cited
  • 1996The excess co-movement of commodity prices reconsidered114 cited
  • 1990South African political unrest, oil prices, and the time varying risk premium in the gold futures market104 cited
  • 1999Booms and Slumps in World Commodity Prices67 cited
  • 1999Dissecting the Cycle53 cited
  • 2002Concordance in Business Cycles17 cited

Cited by

  • 2012FORECAST FOR AGRICULTURAL COMMODITY FUTURES: THE ROLE OF HIGH FREQUENCY DATA17 cited

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