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,...
|Main Author:||Trupkin, Danilo R|
|Place of publication:||
México Banco de México 2011
|Data of publication:||2011|
|Online Access:||available in Bonn?|
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