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Primary commodity prices: Co-movements, common factors and fundamentals
16 references·16 citing·39 second hopsampled
Primary commodity prices: Co-movements, common factors and fundamentals (2012)Primary commodity prices: Co-movements, c…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…A PANIC Attack on Unit Roots and Cointegration (2004)A PANIC Attack on Unit Roots …Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…The distribution of realized stock return volatility (2001)The distribution of realized …Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Investment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyInterpreting the macroeconomic time series facts (1992)Interpreting the macroeconomi…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Expected stock returns and volatility (1987)Expected stock returns and vo…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Macroeconomics and Reality (1980)Macroeconomics and RealityThe Distribution of Gains between Investing and Borrowing Countries (1975)The Distribution of Gains bet…Rational Expectations and the Theory of Price Movements (1961)Rational Expectations and the…The economic development of Latin America and its principal problems (1950)The economic development of L…On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis (2021)On the higher-order moment in…Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1 (2019)Exploring the time-frequency …The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses (2018)The time-varying linkages bet…High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets (2018)High-frequency volatility con…The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes (2017)The dependence structure acro…Futures Trading and the Excess Co-movement of Commodity Prices (2017)Futures Trading and the Exces…Alternative techniques for forecasting mineral commodity prices (2017)Alternative techniques for fo…The Financialization of Food? (2016)The Financialization of Food?Co-movements between crude oil and food prices: A post-commodity boom perspective (2016)Co-movements between crude oi…Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment (2016)Co-movement of major energy, …What are metal prices like? Co-movement, price cycles and long-run trends (2015)What are metal prices like? C…Panicca: Panic on Cross‐Section Averages (2015)Panicca: Panic on Cross‐Secti…Global Oil Prices and Local Food Prices: Evidence from East Africa (2015)Global Oil Prices and Local F…Long-Term Drivers of Food Prices (2013)Long-Term Drivers of Food Pri…A factor model for co-movements of commodity prices (2013)A factor model for co-movemen…Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements (2011)Does 'Paper Oil' Matter? Ener…Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)Panel Data Models With Interactive Fixed Effects (2009)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)The Analysis of Economic Time-Series-Part I: Prices (1953)Optimal Properties of Exponentially Weighted Forecasts (1960)The Economic Implications of Learning by Doing (1971)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Asset Prices in an Exchange Economy (1978)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)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)The Political Economy of the Resource Curse (1999)Coloniality of Power, Eurocentrism, and Latin America (2008)The Theory of Economic Development (2016)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Capital markets research in accounting (2001)
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References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1994Investment Under Uncertainty.9,497 cited
  • 1994Investment under Uncertainty9,016 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1961Rational Expectations and the Theory of Price Movements5,639 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 1950The economic development of Latin America and its principal problems3,314 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2004A PANIC Attack on Unit Roots and Cointegration1,890 cited
  • 1992Interpreting the macroeconomic time series facts1,858 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 1975

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The Distribution of Gains between Investing and Borrowing Countries
1,834 cited

Cited by

  • 2018High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets219 cited
  • 2016Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment178 cited
  • 2015Global Oil Prices and Local Food Prices: Evidence from East Africa152 cited
  • 2019Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1136 cited
  • 2015Panicca: Panic on Cross‐Section Averages132 cited
  • 2017The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes118 cited
  • 2016Co-movements between crude oil and food prices: A post-commodity boom perspective117 cited
  • 2018The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses112 cited
  • 2016The Financialization of Food?108 cited
  • 2015What are metal prices like? Co-movement, price cycles and long-run trends94 cited
  • 2017Futures Trading and the Excess Co-movement of Commodity Prices87 cited
  • 2013A factor model for co-movements of commodity prices84 cited
  • 2013Long-Term Drivers of Food Prices80 cited
  • 2011Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements77 cited
  • 2021On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis76 cited
  • 2017Alternative techniques for forecasting mineral commodity prices75 cited