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Déterminants macroéconomiques du prix du vin
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Déterminants macroéconomiques du prix du vin (2018)Déterminants macroéconomiques du prix du …Financialization of Commodity Markets (2013)Financialization of Commodity…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…Oil prices, exchange rates and emerging stock markets (2011)Oil prices, exchange rates an…Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Oil price shocks and stock ma…Analysis of Financial Time Series (2005)Analysis of Financial Time Se…Stock Market Wealth and Consumption (2000)Stock Market Wealth and Consu…The Excess Co-Movement of Commodity Prices (1990)The Excess Co-Movement of Com…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Some recent development in a concept of causality (1988)Some recent development in a …Premiums for High Quality Products as Returns to Reputations (1983)Premiums for High Quality Pro…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Asset returns and inflation (1977)Asset returns and inflationHedonic Prices and Implicit Markets: Product Differentiation in Pure Competition (1974)Hedonic Prices and Implicit M…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Pure Theory of Local Expenditures (1956)Wages, Rents, and the Quality of Life (1982)Customer Satisfaction, Market Share, and Profitability: Findings From Sweden (1994)Skills, Tasks and Technologies: Implications for Employment and Earnings (2011)The Role of Market Forces in Assuring Contractual Performance (1981)Consumer Information, Product Quality, and Seller Reputation (1982)Asymmetric Information, Bank Lending and Implicit Contracts: A Stylized Model of Customer Relationships (1990)Initial Public Offerings and Underwriter Reputation (1990)The Digitization of Word of Mouth: Promise and Challenges of Online Feedback Mechanisms (2003)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)Time Series Analysis Forecasting and Control. (1971)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey (2012)Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Econophysics review: I. Empirical facts (2011)The impact of the Russian-Ukrainian war on global financial markets (2023)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1974Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition10,715 cited
  • 1988Some recent development in a concept of causality2,982 cited
  • 1977Asset returns and inflation2,701 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1983Premiums for High Quality Products as Returns to Reputations2,325 cited
  • 2005Analysis of Financial Time Series1,350 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2008Oil price shocks and stock markets in the U.S. and 13 European countries1,264 cited
  • 2013Financialization of Commodity Markets808 cited
  • 1990The Excess Co-Movement of Commodity Prices769 cited
  • 2011Oil prices, exchange rates and emerging stock markets729 cited
  • 2000Stock Market Wealth and Consumption702 cited

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  • 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management666 cited
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