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 in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States, Europe,...

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Bibliographic details
Main Author: Trupkin, Danilo R
Format: Paper
Language: English
Place of publication: México Banco de México 2011
Data of publication: 2011
Series: Working papers
Online Access: available in Bonn?
Database: ECONIS
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