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The economic drivers of commodity market volatility

Marcel Prokopczuk, Andrei Tudor Stancu, Lazaros Symeonidis

Journal of International Money and Finance · 2019 · 117 citations · 37 references

DOIFull text

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References

37

Testing for a unit root in time series regression

Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.9K citations

, , +16

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

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An Intertemporal Capital Asset Pricing Model

Robert C. Merton · Econometrica · 1973 · 6.8K citations

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Tests of Equality Between Sets of Coefficients in Two Linear Regressions

Gregory C. Chow · Econometrica · 1960 · 6.5K citations

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Estimating and Testing Linear Models with Multiple Structural Changes

Jushan Bai, Pierre Perrón · Econometrica · 1998 · 6K citations · Full text

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