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 United States, 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 re...
Hernandez, Manuel A
Trupkin, Danilo R
|Place of publication:||
|Data of publication:||2012-06-06|
|Online Access:||available in Bonn?|
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