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Modeling Co-Movement among Different Agricultural Commodity Markets: A Copula-GARCH Approach
16 references·4 citing·44 second hop
Modeling Co-Movement among Different Agricultural Commodity Markets: A Copula-GARCH Approach (2020)Modeling Co-Movement among Different Agri…Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model (2018)Risk spillover between energy…Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment (2016)Co-movement of major energy, …Energy prices and agricultural commodity prices: Testing correlation using copulas method (2015)Energy prices and agricultura…Dynamic spillovers among major energy and cereal commodity prices (2014)Dynamic spillovers among majo…Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets (2013)Do energy prices stimulate fo…Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Correlations and volatility s…Commodity and equity markets: Some stylized facts from a copula approach (2013)Commodity and equity markets:…Do food and oil prices co-move? (2012)Do food and oil prices co-mov…Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Speculation and volatility sp…How do crude oil prices co-move? (2011)How do crude oil prices co-mo…Dependence structure and extreme comovements in international equity and bond markets (2011)Dependence structure and extr…What's Driving Food Prices? (2008)What's Driving Food Prices?MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Credit risk contagion in complex companies network–Empirical research based on listed agricultural companies (2024)Credit risk contagion in comp…Does Inclusive Leadership Improve the Sustainability of Employee Relations? Test of Justice Theory and Employee Perceived Insider Status (2022)Does Inclusive Leadership Imp…Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis (2021)Can Global Economic Policy Un…Return and Volatility Transmission between World-Leading and Latin American Stock Markets: Portfolio Implications (2020)Return and Volatility Transmi…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)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)Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)An Introduction to Copulas (1999)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Measuring financial contagion: A Copula approach (2007)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014)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)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)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)Volatility spillover between oil and agricultural commodity markets (2012)On the links between stock and commodity markets' volatility (2013)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Extreme risk spillovers between crude oil and stock markets (2015)Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States (2019)What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats? (2019)Autoregressive Conditional Density Estimation (1994)CoVaR (2016)Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach (2019)Time and frequency connectedness among oil shocks, electricity and clean energy markets (2020)Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak (2022)World oil prices and agricultural commodity prices: Evidence from an emerging market (2010)World oil and agricultural commodity prices: Evidence from nonlinear causality (2011)Energy and Food Security: Linkages through Price Volatility (2019)Oil price shocks and agricultural commodity prices (2014)High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets (2018)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 2013Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold556 cited
  • 2011Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis550 cited
  • 2008What's Driving Food Prices?350 cited
  • 2018Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model278 cited
  • 2011Dependence structure and extreme comovements in international equity and bond markets267 cited
  • 2012Do food and oil prices co-move?263 cited
  • 2011How do crude oil prices co-move?259 cited
  • 2014Dynamic spillovers among major energy and cereal commodity prices253 cited
  • 2013Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets240 cited
  • 2016Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment178 cited

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  • 2013Commodity and equity markets: Some stylized facts from a copula approach150 cited
  • 2015Energy prices and agricultural commodity prices: Testing correlation using copulas method145 cited
  • Cited by

    • 2021Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis63 cited
    • 2020Return and Volatility Transmission between World-Leading and Latin American Stock Markets: Portfolio Implications32 cited
    • 2022Does Inclusive Leadership Improve the Sustainability of Employee Relations? Test of Justice Theory and Employee Perceived Insider Status21 cited
    • 2024Credit risk contagion in complex companies network–Empirical research based on listed agricultural companies19 cited