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Modeling the Relationship between Crude Oil and Agricultural Commodity Prices
16 references·2 citing·44 second hop
Modeling the Relationship between Crude Oil and Agricultural Commodity Prices (2019)Modeling the Relationship between Crude O…Oil Price Shocks: Causes and Consequences (2014)Oil Price Shocks: Causes and …Oil price shocks and agricultural commodity prices (2014)Oil price shocks and agricult…Do oil price increases cause higher food prices? (2014)Do oil price increases cause …Biofuel-related price transmission literature: A review (2013)Biofuel-related price transmi…Volatility spillover between oil and agricultural commodity markets (2012)Volatility spillover between …World oil and agricultural commodity prices: Evidence from nonlinear causality (2011)World oil and agricultural co…Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis (2011)Oil price, agricultural commo…World oil prices and agricultural commodity prices: Evidence from an emerging market (2010)World oil prices and agricult…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Food versus fuel: What do prices tell us? (2009)Food versus fuel: What do pri…A new statistic and practical guidelines for nonparametric Granger causality testing (2006)A new statistic and practical…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Testing for a unit root in variables with a double change in the mean (1998)Testing for a unit root in va…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)Nonstationarity and Level Shi…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility (2021)Energy, agriculture, and prec…Forecasting Oil Price Using Web-based Sentiment Analysis (2019)Forecasting Oil Price Using W…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Further evidence on breaking trend functions in macroeconomic variables (1997)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Impulse response analysis in nonlinear multivariate models (1996)Generalized impulse response analysis in linear multivariate models (1998)Understanding Crude Oil Prices (2008)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)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)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model (2018)Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak (2022)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Multiple Trend Breaks and the Unit-Root Hypothesis (1997)A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006)Renewable energy consumption, urbanization, financial development, income and CO2 emissions in Turkey: Testing EKC hypothesis with structural breaks (2018)The Cointegrated VAR Model: Methodology and Applications (2006)A Note On Rising Food Prices (2008)Anatomy of a crisis: the causes and consequences of surging food prices (2008)Biofuels versus food production: Does biofuels production increase food prices? (2010)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A test for independence based on the correlation dimension (1996)Causality detection based on information-theoretic approaches in time series analysis (2007)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,774 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,528 cited
  • 1992Nonstationarity and Level Shifts With an Application to Purchasing Power Parity1,230 cited
  • 2006A new statistic and practical guidelines for nonparametric Granger causality testing962 cited
  • 1998Testing for a unit root in variables with a double change in the mean918 cited
  • 2012Volatility spillover between oil and agricultural commodity markets539 cited
  • 2009Food versus fuel: What do prices tell us?463 cited
  • 2011Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis422 cited
  • 2014Oil Price Shocks: Causes and Consequences353 cited
  • 2010World oil prices and agricultural commodity prices: Evidence from an emerging market333 cited
  • 2011World oil and agricultural commodity prices: Evidence from nonlinear causality304 cited
  • 2013Biofuel-related price transmission literature: A review269 cited

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  • 2014Oil price shocks and agricultural commodity prices251 cited
  • 2014Do oil price increases cause higher food prices?233 cited
  • Cited by

    • 2021Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility51 cited
    • 2019Forecasting Oil Price Using Web-based Sentiment Analysis26 cited