This paper provides an empirical analysis of volatility time structures in agricultural markets (sugar, wheat, soybeans … interesting for both researches and policy makers. In order to investigate the behaviour of agricultural market’s volatility after … a shock, I calculated the volatility impulse response function based on a VAR(1) BEKK(1,1)-in-mean model. The result …

changes and price volatility applied accordingly. The findings reveal that, although higher output prices serve as an … incentive to improve global crop supply as expected, output price volatility acts as a disincentive. Depending on the crop, the … results show that own-price supply elasticities range from about 0.05 to 0.40. Output price volatility, however, has negative …

This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices …, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility … and respond well to previous shocks. As a result, financial assets have low unconditional volatility and the lowest risk …

In the contemporary world bustling with global trade, a natural disaster or financial crisis in one country (or region …