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On the short- and long-run efficiency of energy and precious metal markets
16 references·0 citing·43 second hop
On the short- and long-run efficiency of energy and precious metal markets (2013)On the short- and long-run efficiency of …On the links between stock and commodity markets' volatility (2013)On the links between stock an…Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment (2010)Volatility behavior of oil, i…Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade (2010)Oil prices, stock markets and…SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2002)SMOOTH TRANSITION AUTOREGRESS…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Efficient Capital Markets: II (1991)Efficient Capital Markets: IILong-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…The "Speculative Efficiency" Hypothesis (1981)The "Speculative Efficiency" …The "Speculative Efficiency" Hypothesis (1980)The "Speculative Efficiency" …Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)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)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Sharing rules and equilibrium in an international capital market under uncertainty (1976)Asset Prices in an Exchange Economy (1978)Information, futures prices, and stabilizing speculation (1978)Empirical exchange rate models of the seventies (1983)Dividend yields and expected stock returns (1988)Contrarian Investment, Extrapolation, and Risk (1994)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)Common risk factors in the returns on stocks and bonds (1993)Twitter mood predicts the stock market (2011)ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Aggregate Confusion: The Divergence of ESG Ratings (2019)Residual-based tests for cointegration in models with regime shifts (1996)The Quarterly Journal of Economics (2024)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)Modeling and pricing long memory in stock market volatility (1996)Empirical properties of asset returns: stylized facts and statistical issues (2001)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 1991Efficient Capital Markets: II6,030 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
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,735 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1991Long-Term Memory in Stock Market Prices1,756 cited
  • 1989Long-term Memory in Stock Market Prices1,448 cited
  • 2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS1,182 cited
  • 2013On the links between stock and commodity markets' volatility559 cited
  • 2010Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade498 cited
  • 1981The "Speculative Efficiency" Hypothesis440 cited
  • 1980The "Speculative Efficiency" Hypothesis

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420 cited
  • 2010Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment352 cited
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