Aasveit, K., Gisle, J. and Sola, S. (2013). Economic uncertainty and the effectiveness of monetary policy. Norges Bank. No. 2013/17.
Andreasson, P., Bekiros, S., Nguyen, D. K., and Uddin, G. S. (2016). Impact of speculation and economic uncertainty on commodity markets. International Review of Financial Analysis, 43, 115-127.
Antonakakis, N., Chatziantoniou, I. and Filis, G. (2013). Dynamic co-movements between stock market returns and policy uncertainty. Economics Letters 120, 87-92.
Avalos, F. (2014). Do oil prices drive food prices? The tale of a structural break. Journal of International Money and Finance 42, 253–271.
Büyüksahin, B. and Harris, J.H. (2011). Do speculators drive crude oil futures prices. The Energy Journal 32, 167-202.
Büyüksahin, B. and Robe, M.A. (2014). Speculators, commodities and cross-market linkages. Journal of International Money and Finance 42, 38-70.
Babalos, V., Stravoyiannis, S. and Gupta, R. (2015). Do commodity investors herd? Evidence from a time-varying stochastic volatility model. Resources Policy 46, 281-287.
Baker, S., Bloom, N., and Davis, S. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, doi: 10.1093/qje/qjw024.
Balcilar, M., Bekiros, S., and Gupta, R. (2016a). The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method. Empirical Economics, doi: 10.1007/s00181-016-1150-0.
Balcilar, M., Gupta, R., Pierdzioch, C., and Wohar, M.E. (2016b). Terror Attacks and StockMarket Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries. European Journal of Finance, doi: http://dx.doi.org/10.1080/1351847X.2016.1239586. Balcilar, M., Gupta, R., Kim, W.J. and Kyei, C. (Forthcoming). The role of domestic and global economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea: Evidence from a nonparametric causality-in-quantiles approach. International Review of Economics and Finance.
Basak, S. and Pavlova, A. (2016). A model of financialization of commodities. Journal of Finance, forthcoming.
Baumeister, C. and Kilian, L. (2014). Do oil price increases cause higher food prices? Economic Policy 29, 691-747.
Bekiros, S.D. and Diks, C. (2008). The relationship between crude oil spot and futures prices: parametric and nonparametric causality testing. Journal of Macroeconomics 30, 1641-1650.
Berger, T. and Uddin, G.S. (2016). On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes. Energy Economics 56, 374-383.
Bloom, N. (2009). The impact of uncertainty shocks. Econometrica 77, 623-685.
Bloom, N., Bond, S. and van Reenen, J. (2007). Uncertainty and investment dynamics. The Review of Economic Studies 74, 291-415.
Bonaccolto, G., Caporin, M., and Gupta, R. (2015). The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk. Department of Economics, University of Pretoria, Working Paper No. 201564.
- Brock, W., Dechert, D., Scheinkman, J., and LeBaron, B. (1996). A test for independence based on the correlation dimension. Econometric Reviews, 15 197–235.
Paper not yet in RePEc: Add citation now
Brogaard, J. and Detzel, A. (2015). The asset-pricing implications of government economic policy uncertainty. Management Science 61, 3-18.
Chen, J., Jiang, F. and Tong, G. (2016). Economic policy uncertainty in China and stock market expected returns. Available at SSRN: http://ssrn.com/abstract=2808862 or http://dx.doi.org/10.2139/ssrn.2808862.
Cheng, I.H., Xiong, W. 2014. Financialization of commodity markets. Annual Review of Financial Economics 6, 419-441.
Chinn, M.D., and Coibion, O. (2014). The Predictive Content of Commodity Futures, Journal of Futures Markets, 34(7), 607–636.
- Chuliá, H., Guillén, M. and Uribe, J. M. (2015). Spillovers from the United States to Latin America and G7 stock markets: A VAR quantile analysis. IREA–Working Paper No. 201525.
Paper not yet in RePEc: Add citation now
Delatte, A., L. and Lopez, C. (2013). Commodity and equity markets: some stylized facts from a copula approach. Journal of Banking and Finance 37, 5346-5356.
Diks, C., and Panchenko, V. (2006). A new statistic and practical guidelines for nonparametric Granger causality testing. Journal of Economic Dynamics and Control, 30, 1647–1669.
- Erb, C.B. and Harvey, C.R. (2016). The strategic and tactical value of commodity futures. Financial Analysts Journal 69-97.
Paper not yet in RePEc: Add citation now
- Fattouh, B., Kilian, L. and Mahadeva, L. (2016). The role of speculation in oil markets: what have we learned so far? The Energy Journal, forthcoming.
Paper not yet in RePEc: Add citation now
Fernandez, V. (2015). Influence in commodity markets: Measuring co-movement globally. Resources Policy 45, 151-164.
Glosten, L. R., Jagannathan, R., and Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779-1801.
- Hurvich, C.M. and Tsai, C.-L. 1989. Regression and Time Series Model Selection in Small Samples. Biometrika, 76, 297-307.
Paper not yet in RePEc: Add citation now
Jeong, K., Härdle, W. K. and Song, S., 2012. A consistent nonparametric test for causality in quantile. Econometric Theory 28, 861-887.
Kang, W. and Ratti, R. A. (2013). Oil shocks, policy uncertainty and stock market return. Journal of International Financial Markets, Institutions and Money 26, 305-318.
- Li, Q. and Racine, J.S. 2004. Cross-validated local linear nonparametric regression. Statistica Sinica, 14, 485-512.
Paper not yet in RePEc: Add citation now
Mensi, W., Hammoudeh, S., Yoon, S.M. and Nguyen, D. K. (2016). Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models. Review of International Economics 24, 1-19.
Nishiyama, Y., Hitomi, K., Kawasaki, Y., and Jeong, K. 2011. A consistent nonparametric Test for nonlinear causality - specification in time series regression. Journal of Econometrics 165, 112-127.
Pastor, L. and Veronesi, P. (2012). Uncertainty about government policy and stock prices. The Journal of Finance 67, 1219-1264.
Pastor, L. and Veronesi, P. (2013). Political uncertainty and risk premia. Journal of Financial Economics 110, 520-545.
Poon, S-H, and Granger, C. W. J. (2003). Forecasting Volatility in Financial Markets: A Review. Journal of Economic Literature, 41(2), 478-539.
Racine, J.S. and Li, Q. 2004. Nonparametric estimation of regression functions with both categorical and continuous data. Journal of Econometrics, 119, 99-130.
- Rapach, D. E., Wohar, M. E., and Strauss, J.K. (2008). Forecasting Stock Return Volatility in the Presence of Structural Breaks, in Forecasting in the Presence of Structural Breaks and Model Uncertainty, David E. Rapach and Mark E. Wohar (Eds.), Vol. 3 of Frontiers of Economics and Globalization, Bingley, United Kingdom: Emerald, 381–416.
Paper not yet in RePEc: Add citation now
Rapach, D., and Zhou, G. (2013). Forecasting stock returns. In: Elliott, G., Timmermann, A., Eds. Handbook of Economic Forecasting, 328-383, Amsterdam: Elsevier.
- Reeve, T.A., and Vigfusson, R.J. (2011). Evaluating the forecasting performance of commodity futures prices. U.S. Board of Governors of the Federal Reserve System, International Finance Discussion Paper No. 1025.
Paper not yet in RePEc: Add citation now
Rossi, B. and Sekhposyan, T. (2015). Macroeconomic uncertainty indices based on nowcast and forecast error distributions. The American Economic Review 105, 650-655.
Sensoy, A., Hacihasanog, E., Nguyen, D.K. 2015. Dynamic convergence of commodity futures: Not all type of commodities are alike. Resources Policy 44, 150-160.
Shoag, D. and Veuger, S. (2013). Uncertainty and the geography of the Great Recession. AEI Economics Working Paper 2013-05.
Silvennoinen, A. and Thorp, S. (2013). Financialization, crisis and commodity correlation dynamics. Journal of International Financial Markets, Institutions and Money 24, 42-65.
Strobel, J. (2015). On the different approaches of measuring uncertainty shocks. Economics Letters 134, 69-72.
- Tang, K. and Xiong, W. (2012). Index investment and the financialization of commodities. Financial Analysts Journal 68, 6.
Paper not yet in RePEc: Add citation now
W. Mensi, S. Hammoudeh, D. Nguyen and Yoon, S. (2014). Dynamic spillovers among major energy and cereal commodity prices. Energy Economics 43, 225–243.
Wang, Y. and Wu, C. (2012). Energy prices and exchange rates of the US dollar: further evidence from linear and nonlinear causality analysis. Economic Modelling 29, 2289-2297.
Wang, Y., Zhang, B., Diao, X. and Wu, C. (2015). Commodity price changes and the predictability of economic policy uncertainty. Economics Letters 127, 39-42.
Zheng, L. 1999. Is money smart? A study of mutual fund investors’ fund selection ability. Journal of Finance 54, 901-933.