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Speculative activity and returns volatility of Chinese agricultural commodity futures · Study

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ArticleSpeculative activity and returns volatility of Chinese agricultural commodity futures

Martin T. Bohl2017

Article2017

Speculative activity and returns volatility of Chinese agricultural commodity futures

Martin T. Bohl · Pierre L. Siklos · Claudia Wellenreuther

48 citations·0/0 files stored·Journal of Asian Economics

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Financial Risk and Volatility Modeling Economics of Agriculture and Food Markets Market Dynamics and Volatility

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1999Numerical distribution functions of likelihood ratio tests for cointegration 2013Financialization of Commodity Markets

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2019Does economic policy uncertainty matter for commodity market in China? Evidence from quantile regression 2021Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility

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Year2017

Typearticle

Published2017-12-16

VenueJournal of Asian Economics

ISSN-L1049-0078

Languageen

Citations48

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.asieco.2017.12.003

openalex_workW2891540160

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