Stock, Energy and Currency Effects on the Asymmetric Wheat Market
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Springer in its journal International Advances in Economic Research.
Volume (Year): 17 (2011)
Issue (Month): 2 (May)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=112112
GJR-GARCH model; Wheat futures; Crude oil; Ethanol; Exchange rates; F39; G10; G15;
Find related papers by JEL classification:
- F39 - International Economics - - International Finance - - - Other
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Robert F. Engle & Victor K. Ng, 1991.
"Measuring and Testing the Impact of News on Volatility,"
NBER Working Papers
3681, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
- Riethmuller, Paul & Roe, Terry, 1986. "Government intervention in commodity markets: The case of Japanese rice and wheat policy," Journal of Policy Modeling, Elsevier, vol. 8(3), pages 327-349.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- Campbell, John Y. & Hentschel, Ludger, 1992.
"No news is good news *1: An asymmetric model of changing volatility in stock returns,"
Journal of Financial Economics,
Elsevier, vol. 31(3), pages 281-318, June.
- John Y. Campbell & Ludger Hentschel, 1991. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," NBER Working Papers 3742, National Bureau of Economic Research, Inc.
- Hentschel, Ludger & Campbell, John, 1992. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," Scholarly Articles 3220232, Harvard University Department of Economics.
- Robert J. Barro, 1991.
"The Stock Market and Investment,"
NBER Working Papers
2925, National Bureau of Economic Research, Inc.
- Braun, Phillip A & Nelson, Daniel B & Sunier, Alain M, 1995. " Good News, Bad News, Volatility, and Betas," Journal of Finance, American Finance Association, vol. 50(5), pages 1575-1603, December.
- Ogawa, Kazuo & Kitasaka, Shin-ichi & Yamaoka, Hiroshi & Iwata, Yasuharu, 1996.
"An empirical re-evaluation of wealth effect in Japanese household behavior,"
Japan and the World Economy,
Elsevier, vol. 8(4), pages 423-442, December.
- Ogawa, K. & Kitasaka, S.I. & Yamaoka, H. & Iwata, Y., 1995. "An Empirical Re-Evaluation of Wealth Effect in Japanese Household Behavior," ISER Discussion Paper 0382, Institute of Social and Economic Research, Osaka University.
- Poterba, J.M. & Samwick, A.A., 1996.
"Stock Ownership Patterns, Stock Market Fluctuations, and Consumption,"
96-2, Massachusetts Institute of Technology (MIT), Department of Economics.
- James M. Poterba & Andrew A. Samwick, 1995. "Stock Ownership Patterns, Stock Market Fluctuations, and Consumption," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 26(2), pages 295-372.
- Baffes, John, 2007.
"Oil spills on other commodities,"
Policy Research Working Paper Series
4333, The World Bank.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-65, September.
- Enisan, Akinlo A. & Olufisayo, Akinlo O., 2009. "Stock market development and economic growth: Evidence from seven sub-Sahara African countries," Journal of Economics and Business, Elsevier, vol. 61(2), pages 162-171.
- Martha Starr-McCluer, 1998.
"Stock market wealth and consumer spending,"
Finance and Economics Discussion Series
1998-20, Board of Governors of the Federal Reserve System (U.S.).
- Bruce Blonigen, 2005.
"A Review of the Empirical Literature on FDI Determinants,"
Atlantic Economic Journal,
International Atlantic Economic Society, vol. 33(4), pages 383-403, December.
- Bruce A. Blonigen, 2005. "A Review of the Empirical Literature on FDI Determinants," NBER Working Papers 11299, National Bureau of Economic Research, Inc.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
- Geert Bekaert & Guojun Wu, 1997.
"Asymmetric Volatility and Risk in Equity Markets,"
NBER Working Papers
6022, National Bureau of Economic Research, Inc.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
" On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
- Srinivasan, P. V. & Jha, Shikha, 2001. "Liberalized trade and domestic price stability. The case of rice and wheat in India," Journal of Development Economics, Elsevier, vol. 65(2), pages 417-441, August.
- Piesse, Jenifer & Thirtle, Colin, 2009. "Three bubbles and a panic: An explanatory review of recent food commodity price events," Food Policy, Elsevier, vol. 34(2), pages 119-129, April.
- Kian Teng Kwek & Kuan Nee Koay, 2006. "Exchange rate volatility and volatility asymmetries: an application to finding a natural dollar currency," Applied Economics, Taylor and Francis Journals, vol. 38(3), pages 307-323.
- Herrmann, Roland & Kramb, Marc & Mönnich, Christina, 2000. "Tariff rate quotas and the economic impacts of agricultural trade liberalization in the WTO," Discussion Papers 1, Justus Liebig University Giessen, Center for international Development and Environmental Research (ZEU).
- James M. Poterba, 2000. "Stock Market Wealth and Consumption," Journal of Economic Perspectives, American Economic Association, vol. 14(2), pages 99-118, Spring.
- Mauro, Paolo, 2003.
"Stock returns and output growth in emerging and advanced economies,"
Journal of Development Economics,
Elsevier, vol. 71(1), pages 129-153, June.
- Paolo Mauro, 2000. "Stock Returns and Output Growth in Emerging and Advanced Economies," IMF Working Papers 00/89, International Monetary Fund.
- Ronald McKinnon & Gunther Schnabl, 2002. "Synchronized Business Cycles in East Asia: Fluctuations in the Yen/Dollar Exchange Rate and China’s Stabilizing Role," Working Papers 02010, Stanford University, Department of Economics.
- Sydney Ludvigson & Charles Steindel, 1998.
"How important is the stock market effect on consumption?,"
9821, Federal Reserve Bank of New York.
- Sydney Ludvigson & Charles Steindel, 1999. "How important is the stock market effect on consumption?," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 29-51.
- Christie, Andrew A., 1982. "The stochastic behavior of common stock variances : Value, leverage and interest rate effects," Journal of Financial Economics, Elsevier, vol. 10(4), pages 407-432, December.
- Christopher L. Gilbert, 2008. "Commodity Speculation and Commodity Investment," Department of Economics Working Papers 0820, Department of Economics, University of Trento, Italia.
- G. William Schwert, 1990.
"Stock Returns and Real Activity: A Century of Evidence,"
NBER Working Papers
3296, National Bureau of Economic Research, Inc.
- Schwert, G William, 1990. " Stock Returns and Real Activity: A Century of Evidence," Journal of Finance, American Finance Association, vol. 45(4), pages 1237-57, September.
- Ke Tang & Wei Xiong, 2010. "Index Investment and Financialization of Commodities," NBER Working Papers 16385, National Bureau of Economic Research, Inc.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.