Magrini, Emiliano; Donmez, Ayca - Institute for Prospective Technological Studies (IPTS), … - 2013
This paper investigates the main drivers of the agricultural commodity price volatility using the GARCH-MIDAS model of Engel et al. (2013), a new class of component models that allows for isolating the low-frequency component of volatility and taking into consideration macroeconomic factors via...