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We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...
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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 …-market dependence between corn, wheat and soybeans price returns at the mean level. We find, however, important volatility spillovers …
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