Volatility transmission in the South African white maize futures market
Year of publication: |
2020
|
---|---|
Authors: | Sayed, Ayesha ; Auret, C. |
Published in: |
Eurasian economic review : a journal in applied macroeconomics and finance. - Heidelberg : Springer, ISSN 2147-429X, ZDB-ID 2646817-7. - Vol. 10.2020, 1, p. 71-88
|
Subject: | Volatility spillover | Volatility transmission | Multivariate GARCH | Dynamic conditional correlations | White maize futures | Grain price volatility | Volatilität | Volatility | ARCH-Modell | ARCH model | Südafrika | South Africa | Spillover-Effekt | Spillover effect | Maismarkt | Maize market | Mais | Maize | Derivat | Derivative | Multivariate Analyse | Multivariate analysis | Preiskonvergenz | Price convergence |
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