References
- Crain , S. J. and Lee , J. H. 1996 . Volatility in wheat spot and futures markets, 1950–1993: government farm programs, seasonality, and causality . Journal of Finance , 51 : 325 – 44 .
- Dawson , P. J. , Sanjuan , A. I. and White , B. 2010 . Structural breaks and the relationship between barley and wheat futures prices on the London International Financial Futures Exchange . Review of Agricultural Economics , 28 : 585 – 94 .
- Elliot , G. , Rothenberg , T. and Stock , J. 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
- Garcia , P. and Leuthold , R. 2004 . A selected review of agricultural commodity futures and options markets . European Review of Agricultural Economics , 31 : 235 – 72 .
- Giot , P. 2003 . The information content of implied volatility in agricultural commodity markets . Journal of Futures Markets , 23 : 441 – 54 .
- Hamilton , J. D. 1994 . Time Series Analysis , Princeton , NJ : Princeton University Press .
- Hansen , B. E. 1992 . Tests for parameter instability in regressions with I(1) processes . Journal of Business and Economics Statistics , 10 : 321 – 35 .
- Hernandez , M. and Torero , M. 2010 . Examining the dynamic relationship between spot and future prices of agricultural commodities , Washington , DC : International Food Policy Research Institute . Discussion Paper 00988
- Irwin , S. H. , Sanders , D. R. and Merrin , R. P. 2009 . Devil or angel? The role of speculation in the recent commodity price boom (and bust) . Journal of Agricultural and Applied Economics , 41 : 377 – 91 .
- Kaufmann , R. K. and Ullman , B. 2009 . Oil prices, speculation, and fundamentals: interpreting causal relations among spot and future prices . Energy Economics , 31 : 550 – 8 .
- Kejriwal , M. and Perron , P. 2010 . Testing for multiple structural changes in cointegrated regression models . Journal of Business and Economic Statistics , 28 : 503 – 22 .
- Kuiper , W. E. , Pennings , J. M. E. and Meulenberg , M. T. G. 2002 . Identification by full adjustment: evidence from the relationship between futures and spots prices . European Review of Agricultural Economics , 29 : 67 – 84 .
- Maslyuk , S. and Smyth , R. 2009 . Cointegration between oil spot and future prices of the same and different grades in the presence of structural changes . Energy Policy , 37 : 1687 – 93 .
- Mohan , S. and Love , J. 2004 . Coffee futures: role in reducing coffee producers’ price risk . Journal of International Development , 16 : 983 – 1002 .
- Rambaldi , A. N. and Doran , H. E. 1996 . Testing for Granger non-causality in cointegrated system made easy , Armidale , NSW : Department of Econometrics, University of New England . Working Papers in Econometrics and Applied Statistics No. 88
- Robles , M. , Torero , M. and von Braun , J. 2009 . When speculation matters , International Food Policy Research Institute, Washington, DC . Issue Brief 57
- Schroeder , T. C. and Goodwin , B. K. 1991 . Price discovery and cointegration for live hogs . Journal of Futures Markets , 11 : 685 – 96 .
- Silvapulle , P. and Moosa , I. A. 1999 . The relationship between spot and futures prices: evidence from the crude oil market . Journal of Futures Markets , 19 : 175 – 93 .
- Toda , H. Y. and Yamamoto , T. 1995 . Statistical inference in vector autoregressions with possibly integrated processes . Journal of Econometrics , 66 : 225 – 50 .
- Yang , J. , Bessler , D. A. and Leatham , D. J. 2001 . Asset storability and price discovery in commodity futures markets: a new look . Journal of Futures Markets , 21 : 279 – 300 .
- Zivot , E. and Andrews , D. W. K. 1992 . Further evidence on the great crash, the oil price shock and the unit root hypothesis . Journal of Business and Economic Statistics , 10 : 251 – 70 .