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The performance of event study approaches using daily commodity futures returns

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References

1985Using daily stock returns6,497 cited
1992ARCH modeling in finance4,288 cited
1976The pricing of commodity contracts2,859 cited
1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
1998The Event Study Methodology Since 1969826 cited
1991Bivariate garch estimation of the optimal commodity futures Hedge729 cited
1992The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns470 cited
1992A contribution to event study methodology with an application to the Dutch stock market87 cited
2001A flexible parametric GARCH model with an application to exchange rates78 cited

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2008The Impact of Situation and Outlook Information in Corn and Soybean Futures Markets: Evidence from WASDE Reports82 cited
2013Economic effects by merger and acquisition types in the renewable energy sector: An event study approach40 cited
2014The impact of analyst recommendations on stock prices in Austria (2000–2014): evidence from a small and thinly traded market26 cited
2015A Nonparametric Search for Information Effects from USDA Reports25 cited

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