Fung, Hung-Gay; Leung, Wai K; Xu, Xiaoqing Eleanor - In: Review of Quantitative Finance and Accounting 21 (2003) 3, pp. 267-85
Using a bivariate GARCH model, we examine patterns of information flows for three commodity futures traded in both the developed U.S. market and the emerging China market (copper, soybeans and wheat). For copper and soybeans, the two commodities that are subject to less government regulation and...