Yang, Zhengliang; Du, Xiaoxue; Lu, Liang; Tejeda, Hernan - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-14
In this paper, we revisit price and volatility transmission among natural gas, fertilizer, and corn markets; an … volatility in the commodities, fertilizer, and energy markets. We followed the same methodology as previous work and used the … to November 2021. Moreover, the lagged conditional volatility of corn prices will affect the conditional volatility in …