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~institution:"Banco de México"
~institution:"Institute of Economic Research, Kyoto University"
~person:"Hernández, Manuel A."
~source:"repec"
~subject:"Multivariate GARCH"
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Multivariate GARCH
Volatility transmission
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agricultural commodities
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futures markets
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Hernández, Manuel A.
Chang, Chia-Lin
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McAleer, Michael
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Tansuchat, Roengchai
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Benavides, Guillermo
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Ibarra-Ramírez, Raúl
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Banco de México
Institute of Economic Research, Kyoto University
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How Far Do Shocks Move Across Borders? Examining Volatility Transmission in Major Agricultural Futures Markets
Hernández, Manuel A.
;
Ibarra-Ramírez, Raúl
;
Trupkin, …
-
Banco de México
-
2011
follow a multivariate
GARCH
approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn …
Persistent link: https://www.econbiz.de/10009644839
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