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...

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Bibliographic details
Main Author: Hernandez, Manuel A
Ibarra, Raul
Trupkin, Danilo R
Format: Conference Proceeding
Language: English
Place of publication: 06.06.2012
Data of publication: 2012-06-06
Series: Selected Paper
14585
Subjects:
Online Access: available in Bonn?
Database: AgEcon
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