How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

This paper examines the dynamics of volatility across major global exchanges for corn, wheat and soybeans in the USA, Europe and Asia. We follow a multivariate GARCH approach and account for the potential bias that may arise when considering exchanges with different closing times. The results indica...

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Bibliographic details
Volume: 41
Main Author: Hernandez, Manuel A
Ibarra, Raul
Trupkin, Danilo R
Format: Journal Article
Language: English
Place of publication: OXFORD OXFORD UNIV PRESS 01.04.2014
published in: European review of agricultural economics Vol. 41; no. 2; pp. 301 - 325
Data of publication: 2014-04-01
ISSN: 0165-1587
EISSN: 1464-3618
Discipline: Economics
Online Access: Fulltext
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index - 2014
Web of Science - Science Citation Index Expanded - 2014
Web of Knowledge
Science Citation Index Expanded
Web of Science
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