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Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model
16 references·0 citing·48 second hop
Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model (2020)Commodity and transportation economic mar…A Model of Financialization of Commodities (2016)A Model of Financialization o…On the links between stock and commodity markets' volatility (2013)On the links between stock an…Volatility spillover between oil and agricultural commodity markets (2012)Volatility spillover between …Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Speculation and volatility sp…The Generalized Dynamic Factor Model (2005)The Generalized Dynamic Facto…Oil price shocks and real GDP growth: empirical evidence for some OECD countries (2005)Oil price shocks and real GDP…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …The Generalized Dynamic-Factor Model: Identification and Estimation (2000)The Generalized Dynamic-Facto…Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes? (1997)Do Gasoline Prices Respond As…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory (1977)Panels with Nonstationary Multifactor Error Structures (2006)Exploring the international linkages of the euro area: a global VAR analysis (2007)U.S. Monetary Policy and the Global Financial Cycle (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Are Financial Assets Priced Locally or Globally? 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this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 1997Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?1,029 cited
  • 2005Oil price shocks and real GDP growth: empirical evidence for some OECD countries843 cited
  • 2005The Generalized Dynamic Factor Model824 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management666 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 2016A Model of Financialization of Commodities594 cited
  • 2013On the links between stock and commodity markets' volatility559 cited

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2011
Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis
550 cited
  • 2012Volatility spillover between oil and agricultural commodity markets539 cited
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