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Does the Law of One Price Really Hold for Commodity Prices?
11 references·16 citing·28 second hop
Does the Law of One Price Really Hold for Commodity Prices? (1989)Does the Law of One Price Really Hold for…Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (2000)Serial Correlation as a Conve…Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Expectations and Commodity Price Dynamics: The Overshooting Model (1986)Expectations and Commodity Pr…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Some empirical evidence on commodity arbitrage and the law of one price (1978)Some empirical evidence on co…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Safeguarding food security in volatile global markets. (2011)Safeguarding food security in…Threshold Effects in Price Transmission: The Case of Brazilian Wheat, Maize, and Soya Prices (2007)Threshold Effects in Price Tr…Commodity Prices and Unit Root Tests (2007)Commodity Prices and Unit Roo…Modelling trends in food market integration: Method and an application to Tanzanian maize markets (2006)Modelling trends in food mark…Analysis of Price Transmission Along the Food Chain (2005)Analysis of Price Transmissio…Tests For Market Integration and the Law of One Price: The Market For Whitefish in France (2004)Tests For Market Integration …Chapter 17 Spatial price analysis (2001)Chapter 17 Spatial price anal…Timber Price Dynamics Following a Natural Catastrophe (2000)Timber Price Dynamics Followi…TESTING MARKET EQUILIBRIUM: IS COINTEGRATION INFORMATIVE? (1997)TESTING MARKET EQUILIBRIUM: I…Market Delineation and Demand Structure (1997)Market Delineation and Demand…Spatial Market Integration: Definition, Theory, and Evidence (1996)Spatial Market Integration: D…STRUCTURAL DETERMINANTS OF MARKET INTEGRATION: THE CASE OF RICE MARKETS IN BANGLADESH (1995)STRUCTURAL DETERMINANTS OF MA…Open Access and the Evolution of the U. S. Spot Market for Natural Gas (1994)Open Access and the Evolution…Market liberalization and integration of maize markets in Malawi (1994)Market liberalization and int…Multivariate Cointegration Tests and the Law of One Price in International Wheat Markets (1992)Multivariate Cointegration Te…Cointegration Tests and Spatial Price Linkages in Regional Cattle Markets (1991)Cointegration Tests and Spati…Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)The contribution of tourism development to economic growth in the Korean economy (2003)The Structure of Scientific Revolutions (1963)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Nuisance vs. Substance: Specifying and Estimating Time-Series-Cross-Section Models (1996)T IME -S ERIES –C ROSS -S ECTION D ATA : What Have We Learned in the Past Few Years? (2001)Dynamic Models for Dynamic Theories: The Ins and Outs of Lagged Dependent Variables (2005)On market integration and liberalisation: Method and application to Ethiopia (1995)The Extent, Pattern, and Degree of Market Integration: A Multivariate Approach for the Brazilian Rice Market (2001)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Introductory Econometrics for Finance (2008)Critical Values for Cointegration Tests (2010)Unit root tests in panel data: asymptotic and finite-sample properties (2002)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Convergence Across States and Regions (1991)Generalized autoregressive conditional heteroskedasticity (1986)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 2000Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England430 cited
  • 1986Expectations and Commodity Price Dynamics: The Overshooting Model328 cited
  • 1978Some empirical evidence on commodity arbitrage and the law of one price296 cited

Cited by

  • 1991Cointegration Tests and Spatial Price Linkages in Regional Cattle Markets349 cited
  • 2005Analysis of Price Transmission Along the Food Chain215 cited
  • 2007Commodity Prices and Unit Root Tests175 cited
  • 2011

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Safeguarding food security in volatile global markets.
167 cited
  • 2006Modelling trends in food market integration: Method and an application to Tanzanian maize markets148 cited
  • 2007Threshold Effects in Price Transmission: The Case of Brazilian Wheat, Maize, and Soya Prices143 cited
  • 1997TESTING MARKET EQUILIBRIUM: IS COINTEGRATION INFORMATIVE?142 cited
  • 2004Tests For Market Integration and the Law of One Price: The Market For Whitefish in France138 cited
  • 1994Open Access and the Evolution of the U. S. Spot Market for Natural Gas134 cited
  • 1995STRUCTURAL DETERMINANTS OF MARKET INTEGRATION: THE CASE OF RICE MARKETS IN BANGLADESH134 cited
  • 1992Multivariate Cointegration Tests and the Law of One Price in International Wheat Markets132 cited
  • 2000Timber Price Dynamics Following a Natural Catastrophe122 cited
  • 2001Chapter 17 Spatial price analysis113 cited
  • 1997Market Delineation and Demand Structure109 cited
  • 1994Market liberalization and integration of maize markets in Malawi106 cited
  • 1996Spatial Market Integration: Definition, Theory, and Evidence105 cited