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Volatility transmission in agricultural futures markets
16 references·12 citing·39 second hop
Volatility transmission in agricultural futures markets (2013)Volatility transmission in agricultural f…Index Funds, Financialization, and Commodity Futures Markets (2011)Index Funds, Financialization…Oil Price Uncertainty (2010)Oil Price UncertaintyHow to Understand High Food Prices (2010)How to Understand High Food P…Cointegration and Threshold Adjustment (2001)Cointegration and Threshold A…Numerical distribution functions of likelihood ratio tests for cointegration (1999)Numerical distribution functi…Numerical distribution functions for unit root and cointegration tests (1996)Numerical distribution functi…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Volume, Volatility, and the Dispersion of Beliefs (1993)Volume, Volatility, and the D…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…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…The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL* (1976)A MODEL OF ASSET TRADING UNDE…A Model of Asset Trading Under the Assumption of Sequential Information Arrival (1976)A Model of Asset Trading Unde…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach (2022)El Niño, La Niña, and forecas…Economic Modelling at thirty-five: A retrospective bibliometric survey (2021)Economic Modelling at thirty-…Asymmetric and time-frequency spillovers among commodities using high-frequency data (2020)Asymmetric and time-frequency…Spillover network of commodity uncertainties (2019)Spillover network of commodit…The kidnapping of Europe: High-order moments' transmission between developed and emerging markets (2017)The kidnapping of Europe: Hig…Performance Analysis of Four Decomposition-Ensemble Models for One-Day-Ahead Agricultural Commodity Futures Price Forecasting (2017)Performance Analysis of Four …Modelling time varying volatility spillovers and conditional correlations across commodity metal futures (2017)Modelling time varying volati…Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries (2017)Grain Price and Volatility Tr…The effect of global oil price shocks on China's agricultural commodities (2015)The effect of global oil pric…Dynamic convergence of commodity futures: Not all types of commodities are alike (2015)Dynamic convergence of commod…Economic spillovers between related derivatives markets: The case of commodity and freight markets (2014)Economic spillovers between r…Speculative bubbles in agricultural commodity markets (2012)Speculative bubbles in agricu…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries (2007)CO2 emissions, electricity consumption and output in ASEAN (2010)The contribution of foreign direct investment to clean energy use, carbon emissions and economic growth (2013)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)On the Impossibility of Informationally Efficient Markets (1980)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)The variation of certain speculative prices (1997)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Unit root tests for panel data (2001)Critical Values for Cointegration Tests (2010)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Testing for Common Trends (1988)Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates (1998)Hidden Cointegration (2002)Asymmetric Price Transmission: A Survey (2004)Oil prices and economic activity: An asymmetric cointegration approach (2006)
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References

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  • 1988Statistical analysis of cointegration vectors17,038 cited
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  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
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  • 1976A Model of Asset Trading Under the Assumption of Sequential Information Arrival556 cited
  • 2011Index Funds, Financialization, and Commodity Futures Markets

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488 cited
  • 1993Volume, Volatility, and the Dispersion of Beliefs478 cited
  • Cited by

    • 2019Spillover network of commodity uncertainties178 cited
    • 2015The effect of global oil price shocks on China's agricultural commodities171 cited
    • 2012Speculative bubbles in agricultural commodity markets142 cited
    • 2017Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries117 cited
    • 2014Economic spillovers between related derivatives markets: The case of commodity and freight markets97 cited
    • 2015Dynamic convergence of commodity futures: Not all types of commodities are alike94 cited
    • 2020Asymmetric and time-frequency spillovers among commodities using high-frequency data76 cited
    • 2017Performance Analysis of Four Decomposition-Ensemble Models for One-Day-Ahead Agricultural Commodity Futures Price Forecasting51 cited
    • 2017The kidnapping of Europe: High-order moments' transmission between developed and emerging markets42 cited
    • 2021Economic Modelling at thirty-five: A retrospective bibliometric survey39 cited
    • 2017Modelling time varying volatility spillovers and conditional correlations across commodity metal futures38 cited
    • 2022El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach26 cited