1996
DOI: 10.1002/(sici)1099-1255(199605)11:3<275::aid-jae392>3.3.co;2-v
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The excess co‐movement of commodity prices reconsidered

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Cited by 90 publications
(82 citation statements)
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“…For many other commodities, there is no evidence of increased integration, and others fall into the middle ground. Thus, we concur with other studies rejecting excess co‐movement such as Ai et al (), Cashin et al (), and Deb et al ().…”
Section: Resultssupporting
confidence: 93%
See 1 more Smart Citation
“…For many other commodities, there is no evidence of increased integration, and others fall into the middle ground. Thus, we concur with other studies rejecting excess co‐movement such as Ai et al (), Cashin et al (), and Deb et al ().…”
Section: Resultssupporting
confidence: 93%
“…Research into the excess co-movement of commodity prices began withPindyck and Rotemberg (1990), was disputed byAi et al (2006),Cashin et al (1999), andDeb et al (1996), and has be re-examined recently byBüyüksahin and Robe (2014) andChong and Miffre (2010) among others. 4 For a survey of volatility models, seeSerra (2013).…”
mentioning
confidence: 99%
“…In other words, the conditional variance here depends on its own past values as well as lagged values of the residual term. We use GARCH (1,1), but even in this very parsimonious specification, and with annual data, commodity price volatility is well captured (Deb et al, 1996). 1920 1930 1940 1950 1960 1970 1980 1990 2000 2010 Year -Share of Top 1% -Share of Top 0.05% -Share of Top 0.01% Figure 5 plots the conditional variance of Australian commodity prices PX/PY covering the period 1890 to 2008.…”
Section: Commodity Price Shocks and Dependence: Australia And The Resmentioning
confidence: 99%
“…Changes in house prices exhibit autocorrelation and autoregressive conditional heteroskedasticity, both of which can produce spurious findings of dependence if not properly addressed (Deb, Trivedi, and Varangis 1996;Granger and Newbold 1974). Following a model developed by Chen and Fan (2006) for estimating bivariate nonlinear time series models, let y j,t denote the percentage change in housing prices between quarters t − 1 and t for census division j.…”
Section: Marginal Distributionsmentioning
confidence: 99%