How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets
This paper examines the level of interdependence and volatility transmission across major exchanges of maize, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach to explore in detail and under different specifications the dynamics and cross-dynamics of...
| Autores principales: | , , |
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| Formato: | Artículo preliminar |
| Lenguaje: | Inglés |
| Publicado: |
International Food Policy Research Institute
2011
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| Materias: | |
| Acceso en línea: | https://hdl.handle.net/10568/154499 |
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How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets
Publicado 2014
Enlace del recurso
Journal Article