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Time-varying correlation between agricultural commodity and energy price dynamics with Bayesian multivariate DCC-GARCH models
16 references·4 citing·30 second hop
Time-varying correlation between agricultural commodity and energy price dynamics with Bayesian multivariate DCC-GARCH models (2019)Time-varying correlation between agricult…Dynamic co-movements of stock market returns, implied volatility and policy uncertainty (2013)Dynamic co-movements of stock…World oil prices and agricultural commodity prices: Evidence from an emerging market (2010)World oil prices and agricult…A Note On Rising Food Prices (2008)A Note On Rising Food PricesA New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models (2005)A New Class of Multivariate S…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Hedging sanctions risk: Cryptocurrency in central bank reserves (2025)Hedging sanctions risk: Crypt…Volatility Spillover Among the Sectoral Indices of the Indian Capital Market : Evidence from the COVID Period (2023)Volatility Spillover Among th…Uncertainty Due to Infectious Diseases and Stock–Bond Correlation (2021)Uncertainty Due to Infectious…Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility (2021)Energy, agriculture, and prec…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)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)Bounds testing approaches to the analysis of level relationships (2001)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Statistical analysis of cointegration vectors (1988)Tourism as a long-run economic growth factor: the Spanish case (2002)Energy consumption, income, and carbon emissions in the United States (2006)Energy consumption, carbon emissions, and economic growth in China (2009)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Residual-based tests for cointegration in models with regime shifts (1996)The Quarterly Journal of Economics (2024)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
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  • 2010World oil prices and agricultural commodity prices: Evidence from an emerging market333 cited
  • 2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models285 cited
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    • 2021Uncertainty Due to Infectious Diseases and Stock–Bond Correlation16 cited
    • 2025Hedging sanctions risk: Cryptocurrency in central bank reserves16 cited
    • 2023Volatility Spillover Among the Sectoral Indices of the Indian Capital Market : Evidence from the COVID Period15 cited