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Short‐ and Long‐Run Determinants of Commodity Price Volatility
14 references·13 citing·46 second hop
Short‐ and Long‐Run Determinants of Commodity Price Volatility (2013)Short‐ and Long‐Run Determinants of Commo…Market interdependence and volatility transmission among major crops (2015)Market interdependence and vo…Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets (2010)Analyzing and forecasting vol…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…What does the yield curve tell us about GDP growth? (2005)What does the yield curve tel…Realized Beta: Persistence and Predictability (2005)Realized Beta: Persistence an…Volatility and commodity price dynamics (2004)Volatility and commodity pric…Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Econometric Analysis of Reali…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…The Long-Run Behavior of Commodity Prices: Small Trends and Big Variability (2002)The Long-Run Behavior of Comm…Time-varying risk premia and forecastable returns in futures markets (1992)Time-varying risk premia and …The Excess Co-Movement of Commodity Prices (1990)The Excess Co-Movement of Com…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Enhancing Forecasting Accuracy in Commodity and Financial Markets: Insights from GARCH and SVR Models (2024)Enhancing Forecasting Accurac…Forecasting commodity prices: empirical evidence using deep learning tools (2023)Forecasting commodity prices:…Can news-based economic sentiment predict bubbles in precious metal markets? (2022)Can news-based economic senti…Modeling and forecasting commodity market volatility with long‐term economic and financial variables (2019)Modeling and forecasting comm…The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets (2017)The macroeconomic determinant…Modeling regime‐dependent agricultural commodity price volatilities (2017)Modeling regime‐dependent agr…Low‐frequency volatility of real estate securities and macroeconomic risk (2017)Low‐frequency volatility of r…Futures Trading and the Excess Co-movement of Commodity Prices (2017)Futures Trading and the Exces…An exploration of factors influencing the choice of commodity price risk mitigation strategies (2017)An exploration of factors inf…The Financialization of Food? (2016)The Financialization of Food?Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment (2016)Co-movement of major energy, …Market Interdependence and Volatility Transmission Among Major Crops (2014)Market Interdependence and Vo…Macro determinants of volatility and volatility spillover in energy markets (2014)Macro determinants of volatil…Time 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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Stock Market Volatility and Macroeconomic Fundamentals (2012)The Pricing of Options and Corporate Liabilities (1973)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)The Pricing of Options on Assets with Stochastic Volatilities (1987)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Modelling oil price volatility (2007)Energy prices, volatility, and the stock market: Evidence from the Eurozone (2009)Commodity Price Volatility and the Economic Uncertainty of Pandemics (2020)A Theory of the Term Structure of Interest Rates (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Separating microstructure noise from volatility (2005)A framework for assessing the systemic risk of major financial institutions (2009)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Discretion versus policy rules in practice (1993)Comparing Predictive Accuracy (1994)A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Credit Spreads and Business Cycle Fluctuations (2012)The economic development of Latin America and its principal problems (1950)The Distribution of Gains between Investing and Borrowing Countries (1975)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Super Cycles in Real Metals Prices? (2008)The Welfare Impacts of Commodity Price Volatility: Evidence from Rural Ethiopia (2011)From Boom to Bust: A Typology of Real Commodity Prices in the Long Run (2013)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)The Determinants of Stock and Bond Return Comovements (2010)Realized GARCH: a joint model for returns and realized measures of volatility (2011)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)Uncovering the Risk-Return Relation in the Stock Market (2001)Consistent ranking of volatility models (2005)Realized Volatility: A Review (2008)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
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  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 2005What does the yield curve tell us about GDP growth?815 cited
  • 1990The Excess Co-Movement of Commodity Prices769 cited
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  • 2005Realized Beta: Persistence and Predictability225 cited
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  • 2015Market interdependence and volatility transmission among major crops104 cited

Cited by

  • 2016

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Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment
178 cited
  • 2014Macro determinants of volatility and volatility spillover in energy markets163 cited
  • 2016The Financialization of Food?108 cited
  • 2017Futures Trading and the Excess Co-movement of Commodity Prices87 cited
  • 2017The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets81 cited
  • 2019Modeling and forecasting commodity market volatility with long‐term economic and financial variables81 cited
  • 2023Forecasting commodity prices: empirical evidence using deep learning tools76 cited
  • 2022Can news-based economic sentiment predict bubbles in precious metal markets?42 cited
  • 2017An exploration of factors influencing the choice of commodity price risk mitigation strategies41 cited
  • 2017Low‐frequency volatility of real estate securities and macroeconomic risk35 cited
  • 2024Enhancing Forecasting Accuracy in Commodity and Financial Markets: Insights from GARCH and SVR Models31 cited
  • 2017Modeling regime‐dependent agricultural commodity price volatilities30 cited
  • 2014Market Interdependence and Volatility Transmission Among Major Crops28 cited