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Information Flows Between the US and China’s Agricultural Commodity Futures Markets—Based on VAR–BEKK–Skew-t Model
16 references·0 citing·43 second hop
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 2019American Economic Review10,902 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1978Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom1,629 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 1939Speculation and Economic Stability913 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
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  • 1976The Supply of Storage533 cited
  • 1996A causality-in-variance test and its application to financial market prices520 cited
  • 2001A test for volatility spillover with application to exchange rates

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