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Examining volatility persistence and news asymmetry in soybeans futures returns

Musunuru, Naveen - In: Atlantic economic journal : AEJ 44 (2016) 4, pp. 487-500

Persistent link: https://www.econbiz.de/10011711158

Modeling long range dependence in wheat food price returns

Musunuru, Naveen - In: International journal of economics and finance 11 (2019) 9, pp. 46-54

Persistent link: https://www.econbiz.de/10012107483

Modeling price volatility linkages between corn and wheat : a multivariate GARCH estimation

Musunuru, Naveen - In: International advances in economic research : IAER ; an … 20 (2014) 3, pp. 269-280

Persistent link: https://www.econbiz.de/10010532203

Modeling Price Volatility Linkages between Corn and Wheat: A Multivariate GARCH Estimation

Musunuru, Naveen - In: International Advances in Economic Research 20 (2014) 3, pp. 269-280

The present paper attempts an empirical investigation on price volatility linkages between two important agricultural commodities: corn and wheat, by using a multivariate GARCH-BEKK model. Evidence of bidirectional linkages were found between corn and wheat in terms of returns and volatility....

Persistent link: https://www.econbiz.de/10010937321