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Economic linkages across commodity futures: Hedging and trading implications
16 references·13 citing·41 second hop
Economic linkages across commodity futures: Hedging and trading implications (2008)Economic linkages across commodity future…Economic Links and Predictable Returns (2008)Economic Links and Predictabl…Do industries lead stock markets? (2006)Do industries lead stock mark…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)Price Volatility, Trading Vol…A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Cryptocurrency uncertainty and volatility forecasting of precious metal futures markets (2022)Cryptocurrency uncertainty an…Socially Responsible Funds and Traditional Energy Commodities: A Diversification Perspective for Investments (2021)Socially Responsible Funds an…Risk Transmission from the COVID-19 to Metals and Energy Markets (2021)Risk Transmission from the CO…Dynamic correlation pattern amongst alternative energy market for diversification opportunities (2020)Dynamic correlation pattern a…Time-varying energy and stock market integration in Asia (2019)Time-varying energy and stock…Futures Trading and the Excess Co-movement of Commodity Prices (2017)Futures Trading and the Exces…Dynamic spillovers between Shanghai and London nonferrous metal futures markets (2016)Dynamic spillovers between Sh…Superstitious seasonality in precious metals markets? Evidence from GARCH models with time-varying skewness and kurtosis (2015)Superstitious seasonality in …Can commodity returns forecast Canadian sector stock returns? (2015)Can commodity returns forecas…Cross‐market spillovers with ‘volatility surprise’ (2014)Cross‐market spillovers with …Volatility spillovers in commodity markets (2013)Volatility spillovers in comm…Volatility equicorrelation: A cross-market perspective (2013)Volatility equicorrelation: A…Fixing a Leaky Fixing: Short‐Term Market Reactions to the London PM Gold Price Fixing (2013)Fixing a Leaky Fixing: Short‐…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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Price Momentum and Trading Volume (2000)Time Series Momentum (2011)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Volatility forecast comparison using imperfect volatility proxies (2010)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)The variation of certain speculative prices (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Investor Inattention and Friday Earnings Announcements (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Alternative models for conditional stock volatility (1990)Stock Prices and Volume (1992)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)A Monetary History of the United States, 1867-1960 (2017)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Chapter 49 Arch models (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Idiosyncratic Risk Matters! (2003)
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References

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  • 1993Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets

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667 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • Cited by

    • 2013Volatility spillovers in commodity markets88 cited
    • 2017Futures Trading and the Excess Co-movement of Commodity Prices87 cited
    • 2019Time-varying energy and stock market integration in Asia76 cited
    • 2022Cryptocurrency uncertainty and volatility forecasting of precious metal futures markets64 cited
    • 2021Risk Transmission from the COVID-19 to Metals and Energy Markets63 cited
    • 2014Cross‐market spillovers with ‘volatility surprise’32 cited
    • 2013Fixing a Leaky Fixing: Short‐Term Market Reactions to the London PM Gold Price Fixing30 cited
    • 2016Dynamic spillovers between Shanghai and London nonferrous metal futures markets30 cited
    • 2013Volatility equicorrelation: A cross-market perspective28 cited
    • 2020Dynamic correlation pattern amongst alternative energy market for diversification opportunities25 cited
    • 2021Socially Responsible Funds and Traditional Energy Commodities: A Diversification Perspective for Investments24 cited
    • 2015Can commodity returns forecast Canadian sector stock returns?24 cited
    • 2015Superstitious seasonality in precious metals markets? Evidence from GARCH models with time-varying skewness and kurtosis21 cited