Wu, Feng; Guan, Zhengfei; Myers, Robert J. - In: Journal of Futures Markets 31 (2011) 11, pp. 1052-1075
Using a volatility spillover model, we find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time‐varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction...