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...
| Main Authors: | , , |
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| Format: | Artículo preliminar |
| Language: | Inglés |
| Published: |
International Food Policy Research Institute
2011
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| Subjects: | |
| Online Access: | 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
Published 2014
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Journal Article