News surprises and volatility spillover among agricultural commodities : the case of corn, wheat, soybean and soybean oil
Year of publication: |
October 2017
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Authors: | Hamadi, Hassan ; Bassil, Charbel ; Nehme, Tamara |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 41.2017, p. 148-157
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Subject: | Return volatility spillover | Agricultural commodity integration | Portfolio diversification | Structural breaks | GARCH | Structural equations | Sojabohne | Soybean | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Strukturbruch | Structural break | Mais | Maize | Schätzung | Estimation |
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