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Agricultural Commodity Price Volatility
16 references·0 citing·39 second hop
Agricultural Commodity Price Volatility (2011)Agricultural Commodity Price VolatilityRecent Global Food Price Shocks: Causes, Consequences and Lessons for African Governments and Donors (2011)Recent Global Food Price Shoc…The Impact of Index and Swap Funds on Commodity Futures Markets (2010)The Impact of Index and Swap …Price volatility in ethanol markets (2010)Price volatility in ethanol m…How to Understand High Food Prices (2010)How to Understand High Food P…Recent Commodity Price Movements in Historical Perspective (2009)Recent Commodity Price Moveme…Commodity Price Volatility and World Market Integration since 1700 (2009)Commodity Price Volatility an…Institutional causes, macroeconomic symptoms: volatility, crises and growth (2003)Institutional causes, macroec…Institutional Causes, Macroeconomic Symptoms: Volatility, Crises and Growth (2002)Institutional Causes, Macroec…Cross-Country Evidence on the Link Between Volatility and Growth (1994)Cross-Country Evidence on the…Policy Uncertainty, Persistence and Growth (1991)Policy Uncertainty, Persisten…On The Behavior of Commodity Prices (1990)On The Behavior of Commodity …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…ON MEASURING THE INSTABILITY OF TIME SERIES DATA (1979)ON MEASURING THE INSTABILITY …MEASURING THE INSTABILITY OF TIME SERIES DATA (1978)MEASURING THE INSTABILITY OF …Risk, Uncertainty and Profit (1921)Risk, Uncertainty and ProfitTime Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)Multivariate Simultaneous Generalized ARCH (1995)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)Economic Growth in a Cross Section of Countries (1991)Corruption and Growth (1995)Law and Finance (1998)Addressing the Natural Resource Curse: An Illustration from Nigeria (2003)Output Growth Volatility and Remittances (2009)Stories of the Twentieth Century for the Twenty-First (2011)Increasing Returns and Long-Run Growth (1986)On the mechanics of economic development (1988)Fiscal Policy and Long-Run Growth (1997)The impact of UN and US economic sanctions on GDP growth (2015)Chapter 8 Growth Econometrics (2005)Financial Globalization: A Reappraisal (2006)Too much finance? (2015)Implications Of Higher Global Food Prices For Poverty In Low-Income Countries (2008)Export Restrictions and Price Insulation During Commodity Price Booms (2011)Limits to arbitrage and hedging: Evidence from commodity markets (2013)Export Instability in Less Developed Countries: Consequences and Causes (1987)The effect of exchange rate variability on trade: The case of the West African Monetary Union's imports (1990)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Entrepreneurial discovery and the competitive market process: an Austrian approach (2000)Gender Differences in Preferences (2009)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)Institutions as the Fundamental Cause of Long-Run Growth (2004)Institutions Rule: The Primacy of Institutions Over Geography and Integration in Economic Development (2004)The Colonial Origins of Comparative Development: An Empirical Investigation: Reply (2012)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1921Risk, Uncertainty and Profit9,962 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 2003Institutional causes, macroeconomic symptoms: volatility, crises and growth1,502 cited
  • 1994Cross-Country Evidence on the Link Between Volatility and Growth1,415 cited
  • 2010How to Understand High Food Prices738 cited
  • 1990On The Behavior of Commodity Prices421 cited
  • 2002Institutional Causes, Macroeconomic Symptoms: Volatility, Crises and Growth408 cited
  • 1991Policy Uncertainty, Persistence and Growth364 cited
  • 1978MEASURING THE INSTABILITY OF TIME SERIES DATA334 cited
  • 2009Commodity Price Volatility and World Market Integration since 1700309 cited
  • 2010Price volatility in ethanol markets187 cited
  • 2011Recent Global Food Price Shocks: Causes, Consequences and Lessons for African Governments and Donors139 cited
  • 2010The Impact of Index and Swap Funds on Commodity Futures Markets107 cited
  • 2009Recent Commodity Price Movements in Historical Perspective74 cited
  • 1979

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ON MEASURING THE INSTABILITY OF TIME SERIES DATA
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