Jiang, Jingze; Marsh, Thomas L.; Tozer, Peter R. - Agricultural and Applied Economics Association - AAEA - 2014
study price transmission among markets in United States, especially price volatility spillover effects. We find that … exogenous to this system. We also show the existence of volatility spillover from crude oil futures price to corn futures price … from crude oil market to corn market is greater, and the significant bidirectional volatility transmission between corn …