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Food–energy nexus in Europe: Price volatility approach
16 references·0 citing·36 second hop
Food–energy nexus in Europe: Price volatility approach (2015)Food–energy nexus in Europe: Price volati…Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Speculation and volatility sp…Food price volatility (2010)Food price volatilityAsymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Cointegration and Threshold Adjustment (2001)Cointegration and Threshold A…Some tests for parameter constancy in cointegrated VAR‐models (1999)Some tests for parameter cons…Oil prices and the rise and fall of the US real exchange rate (1998)Oil prices and the rise and f…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Further evidence on breaking trend functions in macroeconomic variables (1997)Further evidence on breaking …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Storage and Commodity Markets. (1992)Storage and Commodity Markets.On the Behaviour of Commodity Prices (1992)On the Behaviour of Commodity…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)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)Bounds testing approaches to the analysis of level relationships (2001)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Introductory Econometrics for Finance (2008)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)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)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Trends and random walks in macroeconmic time series (1982)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Hidden Cointegration (2002)Asymmetric Price Transmission: A Survey (2004)Oil prices and economic activity: An asymmetric cointegration approach (2006)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)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,637 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1997Further evidence on breaking trend functions in macroeconomic variables2,035 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 2001Cointegration and Threshold Adjustment1,170 cited
  • 1992On the Behaviour of Commodity Prices1,154 cited
  • 1992Storage and Commodity Markets.673 cited
  • 1999Some tests for parameter constancy in cointegrated VAR‐models617 cited
  • 1998Oil prices and the rise and fall of the US real exchange rate563 cited
  • 2011Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis550 cited

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  • 2010Food price volatility428 cited
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