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The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets
16 references·3 citing·53 second hopsampled
The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets (2017)The macroeconomic determinants of commodi…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…The Economics of Grain Price Volatility (2011)The Economics of Grain Price …The macroeconomic determinants of volatility in precious metals markets (2010)The macroeconomic determinant…How to Understand High Food Prices (2010)How to Understand High Food P…Can Exchange Rates Forecast Commodity Prices? * (2010)Can Exchange Rates Forecast C…Volatility transmission between oil prices and equity sector returns (2009)Volatility transmission betwe…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…Modelling oil price volatility (2007)Modelling oil price volatilityMIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…A power GARCH examination of the gold market (2006)A power GARCH examination of …Shock and volatility transmission in the oil, US and Gulf equity markets (2005)Shock and volatility transmis…GOLD AS AN INFLATION HEDGE? (2004)GOLD AS AN INFLATION HEDGE?Risk and Return in Commodity Futures (1980)Risk and Return in Commodity …Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums (1973)Futures Trading and Investor …China futures price forecasting based on online search and information transfer (2022)China futures price forecasti…The effects of commodity financialization on commodity market volatility (2021)The effects of commodity fina…Macroeconomic forecasts and commodity futures volatility (2020)Macroeconomic forecasts and c…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)Risk, Return, and Equilibrium: Empirical Tests (1973)Hedging Pressure Effects in Futures Markets (2000)Momentum strategies in commodity futures markets (2007)Financialization in commodity markets: A passing trend or the new normal? (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Climate policy uncertainty and world renewable energy index volatility forecasting (2022)Geopolitical risk and dynamic connectedness between commodity markets (2022)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Generalized autoregressive conditional heteroskedasticity (1986)Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment (2010)Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries (2012)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)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)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)New Eurocoin: Tracking Economic Growth in Real Time (2010)Now-Casting and the Real-Time Data Flow (2013)Rational Expectations and the Theory of Price Movements (1961)Manias, Panics, and Crashes: A History of Financial Crises (1979)On the Behaviour of Commodity Prices (1992)Export Restrictions and Price Insulation During Commodity Price Booms (2011)Biofuel-related price transmission literature: A review (2013)Drivers and triggers of international food price spikes and volatility (2013)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Rethinking the global food crisis: The role of trade shocks (2010)Index Funds, Financialization, and Commodity Futures Markets (2011)Volatility spillover between oil and agricultural commodity markets (2012)Expectations and Exchange Rate Dynamics (1976)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Comparing Predictive Accuracy (1994)Oil price fluctuations and U.S. dollar exchange rates (2009)Should Macroeconomic Forecasters Use Daily Financial Data and How? (2013)Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)The Strategic and Tactical Value of Commodity Futures (2006)The Fundamentals of Commodity Futures Returns (2012)Financialization of Commodity Markets (2013)“Options, Futures, and Other Derivatives” (2016)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)
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References

  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 2010How to Understand High Food Prices738 cited
  • 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management666 cited
  • 2010Can Exchange Rates Forecast Commodity Prices? *597 cited
  • 1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums502 cited
  • 2011The Economics of Grain Price Volatility426 cited
  • 2005Shock and volatility transmission in the oil, US and Gulf equity markets417 cited
  • 1980Risk and Return in Commodity Futures416 cited
  • 2010The macroeconomic determinants of volatility in precious metals markets395 cited
  • 2006A power GARCH examination of the gold market386 cited
  • 2009Volatility transmission between oil prices and equity sector returns352 cited
  • 2004GOLD AS AN INFLATION HEDGE?283 cited

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2007
Modelling oil price volatility
281 cited

Cited by

  • 2021The effects of commodity financialization on commodity market volatility65 cited
  • 2022China futures price forecasting based on online search and information transfer37 cited
  • 2020Macroeconomic forecasts and commodity futures volatility19 cited