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Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries
16 references·1 citing·43 second hop
Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries (2017)Grain Price and Volatility Transmission f…Food price volatility in sub-Saharan Africa (2014)Food price volatility in sub-…Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets (2013)Do energy prices stimulate fo…Price volatility in ethanol markets (2010)Price volatility in ethanol m…How to Understand High Food Prices (2010)How to Understand High Food P…Multivariate GARCH Models (2009)Multivariate GARCH ModelsVolatility impulse responses for multivariate GARCH models: An exchange rate illustration (2006)Volatility impulse responses …Asymmetric Price Transmission: A Survey (2004)Asymmetric Price Transmission…INTERNATIONAL EVIDENCE ON FOOD CONSUMPTION PATTERNS (2003)INTERNATIONAL EVIDENCE ON FOO…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Spatial price transmission and asymmetry in the Ghanaian maize market (2000)Spatial price transmission an…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Transfer Costs, Spatial Arbitrage, and Testing for Food Market Integration (1997)Transfer Costs, Spatial Arbit…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…On the Transmission of World Agricultural Prices (1992)On the Transmission of World …The Excess Co-Movement of Commodity Prices (1990)The Excess Co-Movement of Com…Multivariate GARCH models: a surveyMultivariate GARCH models: a …How Does Women's Time in Reproductive Work and Agriculture Affect Maternal and Child Nutrition? Evidence from Bangladesh, Cambodia, Ghana, Mozambique, and Nepal (2016)How Does Women's Time in Repr…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Formulation and estimation of stochastic frontier production function models (1977)Testing Market Integration (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Measuring Integration and Efficiency in International Agricultural Markets (2001)Returns to social network capital among traders (2002)Threshold Cointegration (1997)Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates (1998)Cointegration and Threshold Adjustment (2001)ECONOMETRIC MODELS OF ASYMMETRIC PRICE TRANSMISSION (2007)Biofuel-related price transmission literature: A review (2013)Oil and food prices in Malaysia: a nonlinear ARDL analysis (2015)Industrial Market Structure and Economic Performance. (1971)Statistical analysis of cointegration vectors (1988)Modelling trends in food market integration: Method and an application to Tanzanian maize markets (2006)Chapter 55 Transformation of Markets for Agricultural Output in Developing Countries Since 1950: How Has Thinking Changed? (2007)Transmission of World Food Price Changes to Markets in Sub-Saharan Africa (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Rethinking the global food crisis: The role of trade shocks (2010)Index Funds, Financialization, and Commodity Futures Markets (2011)Volatility spillover between oil and agricultural commodity markets (2012)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Long-Term Global Market Correlations (2001)Modeling and Forecasting Realized Volatility (2001)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modelling Nonlinear Economic Time Series (2010)Crude oil hedging strategies using dynamic multivariate GARCH (2011)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Oil prices, exchange rates and emerging stock markets (2011)Financialization, crisis and commodity correlation dynamics (2012)
this work references cited by second hop

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
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  • 2013Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets240 cited
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  • 2010Price volatility in ethanol markets187 cited
  • 2006Volatility impulse responses for multivariate GARCH models: An exchange rate illustration177 cited
  • 2003

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INTERNATIONAL EVIDENCE ON FOOD CONSUMPTION PATTERNS
170 cited

Cited by

  • 2016How Does Women's Time in Reproductive Work and Agriculture Affect Maternal and Child Nutrition? Evidence from Bangladesh, Cambodia, Ghana, Mozambique, and Nepal28 cited