References
- Boroumand, R. H., S. Goutte, S. Porcher, and T. Porcher. 2014. “Correlation Evidences in the Dynamic of Agricultural Commoditie’s Price.” Applied Economic Letters 21 (17): 1238–1242. doi:10.1080/13504851.2014.922742.
- Chong, J., and J. Miffre. 2010. “Conditional Correlation and Volatility in Commodity Futures and Traditional Asset Markets.” The Journal of Alternative Investments 12 (3): 61–75. doi:10.3905/JAI.2010.12.3.061.
- Gilbert, C. L. 2006. “Trends and Volatility in Agricultural Commodity Prices.” In Agricultural Commodity Markets and Trade, edited by A. Sarris and D. Hallam. Cheltenham: Edward Elgar.
- Gilbert, C. L., and C. W. Morgan. 2010. “Has Food Price Volatility Risen?” Working paper 02-2010, University of Trento, Italy.
- Gilbert, C. L., and P. Varangis. 2004. “Globalization and International Commodity Trade with Specific Reference to the West African Cocoa Producers.” In Challenges to Globalization: Analyzing the Economics, edited by R. E. Baldwin and L. A. Winters. Chicago: University of Chicago Press.
- Goutte, S. 2014. “Conditional Markov Regime Switching Model Applied to Economic Modelling.” Economic Modelling 38: 258–269. doi:10.1016/j.econmod.2013.12.007.
- Guilleminot, B., J. J. Ohana, and S. Ohana. 2012. “The Interaction of Speculators and Index Investors in Agricultural Derivatives Markets.” SSRN working paper.
- Hernandez, M., and M. Torero. 2010. “Examining the Dynamic Relationship between Spot and Future Prices of Agricultural Commodities.” IFPRI Discussion paper 00988.Washington, DC.
- Hilliard, J. E., and J. A. Reis. 1999. “Jump Processes in Commodity Futures Prices and Options Pricing.” American Journal of Agricultural Economics 81 (2): 273–286. doi:10.2307/1244581.
- Kat, H. M., and R. C. A. Oomen. 2007. “What Every Investor Should Know about Commodities, Part I.” Journal of Investment Management 5 (1): Q1.
- Koekebakker, S., and G. Lien. 2004. “Volatility and Price Jumps in Agricultural Futures Prices Evidence from Wheat Options.” American Journal of Agricultural Economics 86 (4): 1018–1031. doi:10.1111/j.0002-9092.2004.00650.x.
- Pindyck, R. 2004. “Volatility and Commodity Price Dynamics.” The Journal of Future Markets 24 (11): 1029–1047. doi:10.1002/fut.20120.
- Schmitz, A., Z. Wang, and J.-H. Kimn. 2014. “A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis.” Journal of Futures Markets 34 (3): 235–260. doi:10.1002/fut.21597.
- Shiller, R. J. 1981. “Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?” American Economic Review 71: 421–436.
- Sumner, D. A. 2009. “Recent Commodity Price Movements in Historical Perspective.” American Journal of Agricultural Economics 91 (5): 1250–1256. doi:10.1111/ajae.2009.91.issue-5.
- Tang, K., and W. Xiong. 2010. “Index Investment and Financialization of Commodities.” NBER Working paper no. 16385.Cambridge, MA.
- Weron, R. 2006. Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach. Chichester: Wiley.
- Yang, J., M. S. Haigh, and D. J. Leatham. 2001. “Agricultural Liberalization Policy and Commodity Price Volatility: A GARCH Application.” Applied Economics Letters 8 (9): 593–598. doi:10.1080/13504850010018734.