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Non-renewable resource prices : deterministic or stochastic trends?
Lee, Junsoo; List, John A.; Strazicich, Mark - In: Journal of environmental economics and management : … 51 (2006) 3, pp. 354-370
Persistent link: https://www.econbiz.de/10003329623
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Sharp breaks or smooth shifts? : an investigation of the evolution of primary commodity prices
Enders, Walter; Holt, Matthew T. - In: American journal of agricultural economics 94 (2012) 3, pp. 659-673
Persistent link: https://www.econbiz.de/10009576555
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Cointegration analysis with structural breaks and deterministic trends : an application to the Canadian dollar
Chaban, Maxym - In: Applied economics 42 (2010) 22/24, pp. 3021-3037
Persistent link: https://www.econbiz.de/10008748174
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...
Persistent link: https://www.econbiz.de/10010532582
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Long-term dependency structure and structural breaks : evidence from the U.S. sector returns and volatility
Ngene, Geoffrey; Mungai, Ann Nduati; Lynch, Allen K. - In: Review of Pacific Basin financial markets and policies 21 (2018) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10011865593
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Structural breaks and volatility spillovers : the case of the US and Canadian Stock Markets
Tsuji, Chikashi - In: Journal of management research 11 (2019) 2, pp. 30-44
Persistent link: https://www.econbiz.de/10011993943
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The co-movements along the forward curve of natural gas futures: a structural view
Spargoli, Fabrizio (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003762669
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Speculation and volatility spillover in the crude oil and agricultural commodity markets : a Bayesian analysis
Du, Xiaodong; Yu, Cindy L.; Hayes, Dermot James - 2009
Persistent link: https://www.econbiz.de/10003896163
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Execution edge of pit traders and intraday price ranges of soft commodities
Kliakhandler, Igor L. - In: Applied financial economics 17 (2007) 4/6, pp. 343-350
Persistent link: https://www.econbiz.de/10003446026
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Communication matters : US monetary policy and commodity price volatility
Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2011 - This version: March 4, 2011
Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility … significant impact on price volatility. Second, expected target rate changes and communications decrease volatility, whereas … ; Price Volatility …
Persistent link: https://www.econbiz.de/10008859667