What impacts the structural breaks in volatility transmission from crude oil to agricultural commodities?

Dilip Kumar 2019년
논문상세정보
' What impacts the structural breaks in volatility transmission from crude oil to agricultural commodities?' 의 주제별 논문영향력
논문영향력 선정 방법
논문영향력 요약
주제
  • Contagion
  • Crude oil
  • Structural breaks
  • Unbiased volatility estimator
  • Volatility spillover
  • agricultural commodities
동일주제 총논문수 논문피인용 총횟수 주제별 논문영향력의 평균
47 0

0.0%

' What impacts the structural breaks in volatility transmission from crude oil to agricultural commodities?' 의 참고문헌

  • World oil prices and agricultural commodity prices: evidence from an emerging market
  • Volatility spillovers between food and energy markets : a semiparametric approach
    Serra, T. [2011]
  • Volatility spillover effects in European equity markets
    Baele, L. [2005]
  • Volatility spillover between oil and agricultural commodity markets
  • Volatility and shocks spillover before and after EMU in European stock markets
    Billio, M. [2003]
  • Trading with asymmetric volatility spillovers
    Pardo, A. [2007]
  • Time-varying integration, interdependence and contagion
    Baele, L. [2010]
  • The substitutive effect of biofuels on fossil fuels in the lower and higher crude oil price periods
  • The signal of volatility
  • The long-run behavior of commodity prices:small trends and big variability
    Cashin, P. [2002]
  • The impact of the petroleum prices on vegetable oil prices: evidence from cointegration test
  • The impact of the oil sector on commodity prices:correlation or causation?
  • The economic value of volatility transmission between the stock and bond markets
    Chuliá, H. [2008]
  • The economic value of predicting stock index returns and volatility
  • The Euro and European financial market dependence
  • Tests for parameter instability and structural change with unknown change point
  • Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?
    Jung, R. [2014]
  • Striking oil: Another puzzle?
  • Spillovers and correlations between US and major European stock markets: the role of the euro
  • Some contagion, some interdependence : more pitfalls in tests of financial contagion
    Corsetti, G [2005]
  • Separating microstructure noise from volatility
    Bandi, F.M. [2006]
  • Return, Volatility and Risk Spillover from Oil Prices and the US Dollar Exchange Rate to the Indian Industrial Sectors
    Kumar, D. [2013]
  • Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness
    Kumar, D. [2014]
  • Return and volatility spillover among the PIIGS economies and India
    Kumar, D. [2015]
  • Response of cotton to oil price shocks
    Mutuc, M. [2010]
  • Recent food prices movements: A time series analysis
    Cooke, B. [2009]
  • Realized variance and market microstructure noise
  • Range‐based estimation of stochastic volatility models
  • Placing the 2006/08 commodity price boom into perspective
    Baffes, J. [2010]
  • Optimal tests when a nuisance parameter is present only under the alternative
  • On segmented multivariate regression
    Liu, J. [1997]
  • Nonlinearities in the US corn‐ethanol‐oil‐gasoline price system
    Serra, T. [2011]
  • Non-parametric and parametric modeling of biodiesel, sunflower oil, and crude oil price relationships
  • No contagion, only interdependence : Measuring stock market comovements
  • Modeling and forecasting the additive bias corrected extreme value volatility estimator
    Kumar, D. [2014]
  • Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
    Billio, M. [2010]
  • Long memory versus structural breaks in modeling and forecasting realized volatility
    Choi, K [2010]
  • Is there life in the old dogs yet? Making break-tests work on financial contagion
    Gębka, B. [2013]
  • Information and volatility linkages in the stock, bond, and money markets
    Fleming, J. [1998]
  • III. Special feature: Evaluating changes in correlations during periods of high market volatility
    Loretan, M. [2000]
  • How to understand high food prices
  • How often to sample a continuous-time process in the presence of market microstructure noise
  • Global commodity cycles and linkages: a FAVAR approach
  • Food versus fuel: What do prices tell us?
    Zhang, Z. [2010]
  • Firm return volatility and economic gains:The role of oil prices
  • Fighting global food price rises in the developing world: the response of China and its effect on domestic and world markets
    Yang, J. [2008]
  • Estimating variance from high, low and closing prices
  • Estimating and testing linear models with multiple structural changes
    Bai, J. [1998]
  • Dynamic stock market integration driven by the European Monetary Union: An empirical analysis
    Kim, S. J. [2005]
  • Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective
  • Computation and analysis of multiple structural change models
    Bai, J. [2003]
  • Cointegration and causality analysis of world vegetable oil and crude oil prices
    Yu, T. H. [2006]
  • Causality between market liquidity and depth for energy and grains
    Sari, R. [2012]
  • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
  • A simple approximate long memory model of realized volatility
    Corsi, F. [2009]
  • A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices
    Kumar, D. [2014]
  • A note on rising food prices
  • A Barrel of Oil or a Bottle of Wine: How Do Global Growth Dynamics Affect Commodity Prices?
    Cevik, S. [2014]