framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

frequency volatility—i.e., the component of volatility that persists for longer than one harvest year—may be more challenging as … uncertainty regarding its persistence is likely to be higher. This paper measures the low frequency volatility of food commodity … spot prices using the spline- GARCH approach. It finds that low frequency volatility is positively correlated across …