Advanced search
Publication Cover
Applied Economics Letters Volume 21, 2014 - Issue 17
Submit an article Journal homepage
282
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Correlation evidence in the dynamics of agricultural commodity prices

Raphaël Homayoun BoroumandESG Management School, Economics, Paris75011, France
,
Stephane GoutteUniversité Paris 8 (LED), 93526Saint-Denis Cedex, France
,
Simon PorcherUniversité Paris Est (IRG), 94010Créteil, FranceCorrespondence[email protected]
&
Thomas PorcherESG Management School, Economics, Paris75011, France
Pages 1238-1242 | Published online: 02 Jun 2014

References

  • Balcombe, K. (2009) The nature and determinants of volatility in agricultural prices: an empirical study from 1962–2008, MPRA Paper 01/2009, Munich Personal RePEc Archive Paper No. 24819, MPRA, Munich.
  • Boroumand, R. H., Goutte, S., Porcher, S., et al. (2014) Jump evidence in the dynamic of agricultural commodity prices. ESG Working Paper, ESG, Paris.
  • Chong, J. and Miffre, J. (2010) Conditional correlation and volatility in commodity futures and traditional asset markets, The Journal of Alternative Investments, 12, 61–75. doi:10.3905/JAI.2010.12.3.061.
  • Geman, H. (Ed.) (2009) Risk Management in Commodity Markets: From Shipping to Agricultural and Energy, John Wiley, Hoboken, NJ.
  • Geman, H. (2011) Price volatility in storable commodity markets: speculation or scarcity?, Swiss Derivatives Review, 46 16–20.
  • Hernandez, M. and Torero, M. (2010) Examining the dynamic relationship between spot and future prices of agricultural commodities, IFPRI Discussion Paper No. 988, IFPRI, Washington, DC.
  • Kat, H. and Oomen, R. (2007) What every investor should know about commodities, part I: univariate return analysis, Journal of Investment Management, 5, 40–64.
  • Lautier, D. (2005) Term structure of crude oil futures prices: a principal component analysis, Bankers, Markets & Investors, 76, 72–80.
  • Munier, B. (Ed.) (2012) Global Uncertainty and the Volatility of Agricultural Commodities Prices, IOS Press, Washington, DC, 240p.
  • Natanelov, V., Alam, M. J., McKenzie, A. M. et al. (2011) Is there co-movement of agricultural commodities futures prices and crude oil?, Energy Policy, 39, 4971–84. doi:10.1016/j.enpol.2011.06.016.
  • OCDE/FAO (2010) Price Volatility and Price Transmission, Agricultural Outlook, 2010–2019, OECD, Paris.
  • Samuelson, P. (1965) Proof that properly anticipated prices fluctuate randomly, Industrial Management Review, 6, 41–9.
  • Sørensen, C. (2002) Modeling seasonality in agricultural commodity futures, Journal of Futures Markets, 22, 393–426. doi:10.1002/fut.10017.
  • Weron, R. (2009) Heavy-tails and regime-switching in electricity prices, Mathematical Meth Operational Researcher, 69, 457–73. doi:10.1007/s00186-008-0247-4.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.