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Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets
16 references·1 citing·48 second hop
Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets (2016)Dynamics of volatility transmission betwe…Volatility transmission in agricultural futures markets (2013)Volatility transmission in ag…How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets (2013)How far do shocks move across…Volatility spillover between oil and agricultural commodity markets (2012)Volatility spillover between …Estimating the Short-Run Poverty Impacts of the 2010–11 Surge in Food Prices (2012)Estimating the Short-Run Pove…Volatility transmission in emerging European foreign exchange markets (2011)Volatility transmission in em…Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011)Return and volatility transmi…Information transmission in informationally linked markets: Evidence from US and Chinese commodity futures markets (2011)Information transmission in i…Estimating the Short-Run Poverty Impacts of the 2010-11 Surge in Food Prices (2011)Estimating the Short-Run Pove…Food Security in an Era of Economic Volatility (2010)Food Security in an Era of Ec…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns (2004)News Arrival, Jump Dynamics, …Information Flows Between the U.S. and China Commodity Futures Trading (2003)Information Flows Between the…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Estimating Variance From High, Low and Closing Prices (1991)Estimating Variance From High…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…Macroeconomic forecasts and commodity futures volatility (2020)Macroeconomic forecasts and c…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Efficient Capital Markets: II (1991)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries (2012)Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets (2016)How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)Impulse response analysis in nonlinear multivariate models (1996)Generalized impulse response analysis in linear multivariate models (1998)Understanding Crude Oil Prices (2008)Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis (2016)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Geopolitical risk and dynamic connectedness between commodity markets (2022)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Volatility forecast comparison using imperfect volatility proxies (2010)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)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)Granger causality in risk and detection of extreme risk spillover between financial markets (2009)Undeserved Loss: The Spread of Legitimacy Loss to Innocent Organizations in Response to Reported Corporate Deviance (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)A Class of Decomposable Poverty Measures (1984)On the Behaviour of Commodity Prices (1992)Implications of higher global food prices for poverty in low‐income countries 1 (2008)Global Oil Prices and Local Food Prices: Evidence from East Africa (2015)The Impact of Food Prices on Poverty and Food Security (2016)The Economic Origins of Conflict in Africa (2020)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Dynamic Conditional Correlation (2002)The impact of teacher subject knowledge on student achievement: Evidence from within-teacher within-student variation (2012)How strong is the linkage between tourism and economic growth in Europe? 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this work references cited by second hop

References

  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1991Estimating Variance From High, Low and Closing Prices617 cited
  • 2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns561 cited
  • 2012Volatility spillover between oil and agricultural commodity markets539 cited
  • 2011Return and volatility transmission between world oil prices and stock markets of the GCC countries423 cited
  • 2011Volatility transmission in emerging European foreign exchange markets337 cited
  • 2012Estimating the Short-Run Poverty Impacts of the 2010–11 Surge in Food Prices170 cited
  • 2010Food Security in an Era of Economic Volatility169 cited
  • 2011Estimating the Short-Run Poverty Impacts of the 2010-11 Surge in Food Prices129 cited
  • 2013How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets111 cited
  • 2011Information transmission in informationally linked markets: Evidence from US and Chinese commodity futures markets100 cited

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  • 2013Volatility transmission in agricultural futures markets98 cited
  • 2003Information Flows Between the U.S. and China Commodity Futures Trading95 cited
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    • 2020Macroeconomic forecasts and commodity futures volatility19 cited