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Linear and Nonlinear Causality between Corn Cash and Futures Prices
16 references·4 citing·27 second hop
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References

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  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
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  • 1995Herd Behaviour, Bubbles and Crashes1,054 cited
  • 1994Fractal Market Analysis: Applying Chaos Theory to Investment and Economics983 cited
  • 2006A new statistic and practical guidelines for nonparametric Granger causality testing962 cited
  • 1983Price Movements and Price Discovery in Futures and Cash Markets641 cited
  • 1999

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Some tests for parameter constancy in cointegrated VAR‐models
617 cited
  • 2001Spatial Market Integration in the Presence of Threshold Effects505 cited
  • Cited by

    • 2018Using Local Information to Improve Short-Run Corn Price Forecasts71 cited
    • 2022Network Analysis of Price Comovements Among Corn Futures and Cash Prices69 cited
    • 2024Steel price index forecasts through machine learning for northwest China39 cited
    • 2023Composite property price index forecasting with neural networks33 cited