- Adjemian, M. K. (2012). Emergence and Impact of USDA's WASDE Report. Amber Waves: The Economics of Food, Farming, Natural Resources, and Rural America, (2).
Paper not yet in RePEc: Add citation now
- Adrangi, B., Chatrath, A., & Raffiee, K. (2006). Price discovery in the soybean futures market. Journal of Business & Economics Research (JBER), 4(6). https://doi.org/10.19030/jber.v4i6.2679.
Paper not yet in RePEc: Add citation now
- Aït‐Youcef, C. (2019). How index investment impacts commodities: A story about the financialization of agricultural commodities. Economic Modelling, 80, 23–33. https://doi.org/10.1016/j.econmod.2018.04.007.
Paper not yet in RePEc: Add citation now
- Baba, Y., Engle, R. F., Kraft, D., & Kroner, K. (1990). Multivariate simultaneous generalized ARCH. Unpublished Manuscript. University of California–San Diego.
Paper not yet in RePEc: Add citation now
- Chan, K., Tse, Y., & Williams, M. (2011). The relationship between commodity prices and currency exchange rates: Evidence from the futures markets. In Ito, Takatoshi & Rose, Andrew K., (Eds.), Commodity Prices and Markets (pp. 47–71). University of Chicago Press. http://www.nber.org/chapters/c11859.
Paper not yet in RePEc: Add citation now
Chang, C. L., McAleer, M., & Tansuchat, R. (2011). Crude oil hedging strategies using dynamic multivariate GARCH. Energy Economics, 33(5), 912–923. https://doi.org/10.1016/j.eneco.2011.01.009.
- Choudhry, T. (2009). Short‐run deviations and time‐varying hedge ratios: Evidence from agricultural futures markets. International Review of Financial Analysis, 18(1‐2), 58–65. https://doi.org/10.1016/j.irfa.2008.11.003.
Paper not yet in RePEc: Add citation now
Dawson, P. J., Tiffin, A. L., & White, B. (2000). Optimal hedging ratios for wheat and barley at the LIFFE: A GARCH approach. Journal of Agricultural Economics, 51(2), 147–161. https://doi.org/10.1111/j.1477‐9552.2000.tb01220.x.
de Boer, T. A., Gardebroek, C., Pennings, J. M., & Trujillo‐Barrera, A. (2022). Intraday liquidity in soybean complex futures markets. Journal of Futures Markets, 42(7), 1189–1211. https://doi.org/10.1002/fut.22325.
- 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(366a), 427–431. https://doi.org/10.1080/01621459.1979.10482531.
Paper not yet in RePEc: Add citation now
- Ding, S., Cui, T., Zheng, D., & Du, M. (2021). The effects of commodity financialization on commodity market volatility. Resources Policy, 73, 102220. https://doi.org/10.1016/j.resourpol.2021.102220.
Paper not yet in RePEc: Add citation now
Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric theory, 11(1), 122–150. https://doi.org/10.1017/S0266466600009063.
- Frankel, J. A. (2008). The effect of monetary policy on real commodity prices. In Asset Prices and Monetary Policy. (pp. 291–334). University of Chicago Press. https://www.nber.org/papers/w12713.
Paper not yet in RePEc: Add citation now
- Garcia, P., Roh, J. S., & Leuthold, R. M. (1995). Simultaneously determined, time‐varying hedge ratios in the soybean complex. Applied Economics, 27(12), 1127–1134. https://doi.org/10.1080/00036849500000095.
Paper not yet in RePEc: Add citation now
Gilbert, C. L., & Pfuderer, S. (2014). The role of index trading in price formation in the grains and oilseeds markets. Journal of Agricultural Economics, 65(2), 303–322. https://doi.org/10.1111/1477‐9552.12068.
- Greer, R. J. (2000). The nature of commodity index returns. The Journal of Alternative Investments, 3(1), 45–52. https://doi.org/10.3905/jai.2000.318924.
Paper not yet in RePEc: Add citation now
Hamilton, J. D., & Wu, J. C. (2014). Risk premia in crude oil futures prices. Journal of International Money and Finance, 42, 9–37. https://doi.org/10.1016/j.jimonfin.2013.08.003.
Hu, M., Zhang, D., Ji, Q., & Wei, L. (2020). Macro factors and the realized volatility of commodities: A dynamic network analysis. Resources Policy, 68, 101813. https://doi.org/10.1016/j.resourpol.2020.101813.
Irwin, S. H., & Sanders, D. R. (2011). Index funds, financialization, and commodity futures markets. Applied Economic Perspectives and Policy, 33(1), 1–31. https://doi.org/10.1093/aepp/ppq032.
Irwin, S. H., & Sanders, D. R. (2012). Financialization and structural change in commodity futures markets. Journal of agricultural and applied economics, 44(3), 371–396. https://doi.org/10.1017/S1074070800000481.
Johnson, L. L. (1960). The theory of hedging and speculation in commodity futures. The Review of Economic Studies, 27(3), 139–151. https://doi.org/10.2307/2296076.
Johnson, R. L., Zulauf, C. R., Irwin, S. H., & Gerlow, M. E. (1991). The soybean complex spread: An examination of market efficiency from the viewpoint of a production process. Journal of Futures Markets, 11(1), 25–37. https://doi.org/10.1002/fut.3990110104.
Kang, W., Tang, K., & Wang, N. (2023). Financialization of commodity markets ten years later. Journal of Commodity Markets, 10, 100313. https://doi.org/10.1016/j.jcomm.2023.100313.
- Karali, B. (2012). Do USDA announcements affect co‐movements across commodity futures returns? Journal of Agricultural and Resource Economics, 77–97. https://www.jstor.org/stable/23243050.
Paper not yet in RePEc: Add citation now
- Lee, T., Tran, A., Hansen, J., & Ash, M. (2019). Major factors affecting global soybean and products trade projections. Amber Waves. Economic Research Services, US Department of Agriculture. Accessed on, 24 www.ers.usda.gov/amber‐waves/2016/may/major‐factorsaffecting‐global‐soybean‐and‐products‐trade‐projections/.
Paper not yet in RePEc: Add citation now
Liu, Q. W., & Sono, H. H. (2016). Empirical properties, information flow, and trading strategies of China's soybean crush spread. Journal of Futures Markets, 36(11), 1057–1075. https://doi.org/10.1002/fut.21777.
Ma, J., Vivian, A., & Wohar, M. E. (2020). What drives commodity returns? Market, sector or idiosyncratic factors? Oxford Bulletin of Economics and Statistics, 82(2), 311–330. https://doi.org/10.1111/obes.12334.
Magrini, E., & Donmez, A. (2013). Agricultural commodity price volatility and its macroeconomic determinants: a GARCH‐MIDAS approach (No. JRC84138). (JRC Research Reports JRC84138). Joint Research Centre (Seville site). https://ideas.repec.org/p/ipt/iptwpa/jrc84138.html.
Main, S., Irwin, S. H., Sanders, D. R., & Smith, A. (2018). Financialization and the returns to commodity investments. Journal of Commodity Markets, 10, 22–28. https://doi.org/10.1016/j.jcomm.2018.05.004.
Manera, M., Nicolini, M., & Vignati, I. (2013). Financial speculation in energy and agriculture futures markets: A multivariate GARCH approach. The Energy Journal, 34(3), 55–81. https://doi.org/10.5547/01956574.34.3.4.
- Milazzo, M. F., Spina, F., Cavallaro, S., & Bart, J. C. J. (2013). Sustainable soy biodiesel. Renewable and Sustainable Energy Reviews, 27, 806–852. https://doi.org/10.1016/j.rser.2013.07.031.
Paper not yet in RePEc: Add citation now
Newey, W. K., & West, K. D. (1987). A Simple, Positive Semi‐Definite, Heteroskedasticity and Auto Correlation Consistent Covariance Matrix. Econometrica, 55(3), 703–708. https://doi.org/10.3386/t0055.
Nguyen, D. B. B., & Prokopczuk, M. (2019). Jumps in commodity markets. Journal of Commodity Markets, 13, 55–70. https://doi.org/10.1016/j.jcomm.2018.10.002.
Ott, H. (2014). Extent and possible causes of intrayear agricultural commodity price volatility. Agricultural Economics, 45(2), 225–252. https://doi.org/10.1111/agec.12043.
Ouyang, R., & Zhang, X. (2020). Financialization of agricultural commodities: Evidence from China. Economic Modelling, 85, 381–389. https://doi.org/10.1016/j.econmod.2019.11.009.
Rechner, D., & Poitras, G. (1993). Putting on the crush: Day trading the soybean complex spread. Journal of Futures Markets, 13, 61–61. https://doi.org/10.1002/fut.3990130107.
Saleem, K. (2009). International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis. Research in International Business and Finance, 23(3), 243–256. https://doi.org/10.1016/j.ribaf.2008.09.003.
Sanjuán‐López, A. I., & Dawson, P. J. (2017). Volatility effects of index trading and spillovers on US agricultural futures markets: A multivariate GARCH approach. Journal of agricultural economics, 68(3), 822–838. https://doi.org/10.1111/1477‐9552.12216.
Simon, D. P. (1999). The soybean crush spread: Empirical evidence and trading strategies. Journal of Futures Markets, 19(3), 271–289. https://doi.org/10.1002/(SICI)1096‐9934(199905)19:3.
- Tang, K., & Xiong, W. (2012). Index investment and the financialization of commodities. Financial Analysts Journal, 68(6), 54–74. https://doi.org/10.2469/faj.v68.n6.5.
Paper not yet in RePEc: Add citation now
- USDA Economic Research Service. (2021). Oil Crops Yearbook. Retrieved from https://www.ers.usda.gov/data‐products/oil‐crops‐yearbook/oil‐crops‐yearbook.
Paper not yet in RePEc: Add citation now
Ying, J., Chen, Y., & Dorfman, J. H. (2019). Flexible tests for USDA report announcement effects in futures markets. American Journal of Agricultural Economics, 101(4), 1228–1246. https://doi.org/10.1093/ajae/aaz013.