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The excess co‐movement of commodity prices reconsidered
2 references·16 citing·47 second hop
The excess co‐movement of commodity prices reconsidered (1996)The excess co‐movement of commodity price…Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Storage and Commodity Markets. (1992)Storage and Commodity Markets.Trade, policy, and food security (2019)Trade, policy, and food secur…Forecasting commodity prices out-of-sample: Can technical indicators help? (2019)Forecasting commodity prices …On the link between oil and agricultural commodity prices: Do biofuels matter? (2017)On the link between oil and a…Interdependence between crude oil and world food prices: A detrended cross correlation analysis (2017)Interdependence between crude…The Financialization of Food? (2016)The Financialization of Food?The connectedness between crude oil and financial markets: Evidence from implied volatility indices (2016)The connectedness between cru…Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment (2016)Co-movement of major energy, …What are metal prices like? Co-movement, price cycles and long-run trends (2015)What are metal prices like? 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(2014)Sentiment in oil markets (2015)An update on speculation and financialization in commodity markets (2018)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)The Band Pass Filter (1999)Labour income effects of the recent “mining boom” in northern Sweden (2016)The Impact of Electric Vehicle Demand and Battery Recycling on Price Dynamics of Lithium-Ion Battery Cathode Materials: A Vector Error Correction Model (VECM) Analysis (2018)Assessing the inflation hedging of gold and palladium in OECD countries (2019)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Econometric modelling of non‐ferrous metal prices (2004)Understanding world metals prices—Returns, volatility and diversification (2010)The Excess Co-Movement of Commodity Prices (1990)On the Behaviour of Commodity Prices (1992)The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies (2016)Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries (2017)The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses (2018)Investment Under Uncertainty. 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Energy Markets’ Financialization and Equity-Commodity Co-Movements (2011)Futures Trading and the Excess Co-movement of Commodity Prices (2017)Financialization of commodity markets ten years later (2023)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Introductory Econometrics for Finance (2008)Projection methods for solving aggregate growth models (1992)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Can Exchange Rates Forecast Commodity Prices? * (2010)
this work references cited by second hop

References

  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1992Storage and Commodity Markets.673 cited

Cited by

  • 2016Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment178 cited
  • 2006On the Comovement of Commodity Prices154 cited
  • 2019Trade, policy, and food security133 cited
  • 2016The Financialization of Food?108 cited
  • 2013The Role of Financial Speculation in Driving the Price of Crude Oil107 cited
  • 2016The connectedness between crude oil and financial markets: Evidence from implied volatility indices105 cited
  • 1999Metal prices and the business cycle96 cited
  • 2015What are metal prices like? Co-movement, price cycles and long-run trends94 cited
  • 2006Populists versus theorists: Futures markets and the volatility of prices94 cited
  • 2015A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates92 cited
  • 2017On the link between oil and agricultural commodity prices: Do biofuels matter?92 cited
  • 2009On the excess co-movement of commodity prices—A note about the role of fundamental factors in short-run dynamics90 cited

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2019
Forecasting commodity prices out-of-sample: Can technical indicators help?
89 cited
  • 2014Speculative bubbles in agricultural prices88 cited
  • 2010The Role of Copulas in the Housing Crisis87 cited
  • 2017Interdependence between crude oil and world food prices: A detrended cross correlation analysis87 cited