This paper examines the dynamics of volatility across major global exchanges for corn, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach and account for the potential bias that may arise when considering exchanges with different closing times....

This paper examines the dynamics of volatility across major global exchanges for corn, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach and account for the potential bias that may arise when considering exchanges with different closing times....

This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States,...

This paper examines the volatility transmission mechanism between the futures and corresponding underlying asset spot markets, focusing on Turkish currency and stock index futures traded on the lately established Turkish Derivatives Exchange (TURKDEX). Employing multivariate generalized...

This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. The estimation results indicate a higher...

This paper investigates the shock and volatility transmission between the Istanbul Stock Exchange (ISE) sector indexes. Using daily data of ISE National Industry, National Service, National Finance and National Technology indexes from July 30, 2000 to August 27, 2009 and employing a series of...

This paper provides a comprehensive analysis of the dynamics of volatility between the corn, wheat, and soybean markets in the United States. Volatility interactions across markets, if they exist, may lower the effectiveness of diversification strategies to mitigate price risks and should be...

This paper examines volatility transmission between corn, wheat and soybeans markets in the US. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these major crops on a daily, weekly and monthly basis. The period of analysis is...

The value of USDA reports has long been a question of interest for researchers and practitioners. However, the impact of announcements on comovements across related commodity prices has not been explored beyond financial asset markets. This is important because the structure of the relationship...

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...