References
- Acharya, H. R., & Gaikwad, V. (2014). Pre-open call auction and price discovery: Evidence from India. Cogent Economics & Finance, 2, 944668.
- Bhar, R., & Hamori, S. (2006). Linkages among agricultural commodity futures prices: Some further evidence from Tokyo. Applied Economics Letters, 13, 535–539.https://doi.org/10.1080/13504850500400421
- Bosworth, B. P., & Lawrence, R. Z. (1982). Commodity prices and the new inflation. Washington, DC: Brookings Institute.
- Chinn, M. D., & Coibion, O. (2014). The predictive content of commodity futures. Journal of Futures Markets, 34, 607–636.https://doi.org/10.1002/fut.v34.7
- Ciner, C. (2001). On the long run relationship between gold and silver prices: A note. Global Finance Journal, 12, 299–303.https://doi.org/10.1016/S1044-0283(01)00034-5
- Ciner, C. (2002). Information content of volume: An investigation of Tokyo commodity futures markets. Pacific-Basin Finance Journal, 10, 201–215.https://doi.org/10.1016/S0927-538X(01)00037-3
- Dawson, P. J., & White, B. (2002). Interdependencies between agricultural commodity futures prices on the LIFFE. Journal of Futures Markets, 22, 269–280.https://doi.org/10.1002/fut.2217
- Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427–431.
- Geoffrey Booth, G., & Ciner, C. (2001). Linkages among agricultural commodity futures prices: Evidence from Tokyo. Applied Economics Letters, 8, 311–313.https://doi.org/10.1080/135048501750157486
- Gorton, G., & Rouwenhorst, G. (2006). Facts and fantasies about commodity futures. Financial Analysts Journal, 62, 427–431.
- Hamilton, J. D. (2009). Causes and consequences of the oil shock of 2007–08. Brookings Papers on Economic Activity, 215–261.https://doi.org/10.1353/eca.0.0047
- Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59, 1551–1580.https://doi.org/10.2307/2938278
- Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root Journal of Econometrics, 54, 159–178.https://doi.org/10.1016/0304-4076(92)90104-Y
- Lutkepohl, H., Saikkonen, P., & Trenkler, C. (2004). Testing for the cointegrating rank of a VAR process with level shift at unknown time. Econometrica, 72, 647–662.https://doi.org/10.1111/ecta.2004.72.issue-2
- Malliaris, A. G., & Urrutia, J. L. (1996). Linkages between agricultural commodity futures contracts. Journal of Futures Markets, 16, 595–609.https://doi.org/10.1002/(ISSN)1096-9934
- Osterwald-Lenum, M. (1992). A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics. Oxford Bulletin of Economics and Statistics, 54, 461–472.https://doi.org/10.1111/obes.1992.54.issue-3
- Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57, 1361–1401.https://doi.org/10.2307/1913712
- Pfaff, B. (2008). Analysis of integrated and cointegrated time series with R (2nd ed.). Berlin: Springer.https://doi.org/10.1007/978-0-387-75967-8
- Pindyck, R. S., & Rotemberg, J. J. (1990). The excess co-movement of commodity prices. The Economic Journal, 100, 1173–1189.https://doi.org/10.2307/2233966
- Reinhart, C. M., & Rogoff, K. S. (2009). This time is different. Princeton, NJ: Princeton University Press.
- Tsuchiya, Y. (2010). Linkages among precious metals commodity futures prices: Evidence from Tokyo. Economics Bulletin, 30, 1772–1777.
- Zivot, E., & Andrews, D. W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10, 251–270.