SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?
16 references·0 citing·37 second hop
Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed? (2019)Realized correlations, betas and volatili…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Causes and Consequences of the Oil Shock of 2007–08 (2009)Causes and Consequences of th…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…The distribution of realized stock return volatility (2001)The distribution of realized …Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Emerging equity market volatility (1997)Emerging equity market volati…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)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)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)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)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Expected Stock Returns and Variance Risk Premia (2009)Coherent Measures of Risk (1999)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Volatility and Risk in Equity Markets (2000)Individualism and Momentum around the World (2010)
this work references cited by second hop

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 2009Causes and Consequences of the Oil Shock of 2007–08

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,101 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • Cited by

    No citing works inside the corpus for this window.