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Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets
Teterin, Pavel; Brooks, Robert; Enders, Walter - In: Journal of empirical finance 38 (2016), pp. 22-36
Persistent link: https://www.econbiz.de/10011663220
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Volatility spillovers in US crude oil, ethanol, and corn futures markets
Trujillo-Barrera, Andrés; Mallory, Mindy; García, Philip - In: Journal of agricultural and resource economics : JARE ; … 37 (2012) 2, pp. 247-262
Persistent link: https://www.econbiz.de/10009675250
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Do energy prices stimulate food price volatility? : examining volatility transmission between US oil, ethanol and corn markets
Gardebroek, Cornelis; Hernandez, Manuel A. - In: Energy economics 40 (2013), pp. 119-129
Persistent link: https://www.econbiz.de/10010349598
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Spillover effects in the global copper futures markets: asymmetric multivariate GARCH approaches
Lee, Hyun-Bock; Park, Cheol-Ho - In: Applied economics 52 (2020) 54, pp. 5909-5920
Persistent link: https://www.econbiz.de/10012308379
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Volatility spillover and time-varying conditional correlation between DDGS, corn, and soybean meal markets
Etienne, Xiaoli Liao; Trujillo-Barrera, Andrés; … - In: Agricultural and resource economics review : ARER 46 (2017) 3, pp. 529-554
Persistent link: https://www.econbiz.de/10012024782
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Corn price behavior : price transmission during the boom on futures markets
Ledebur, Oliver von; Schmitz, Jochen - 2009
Persistent link: https://www.econbiz.de/10003874709
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An analysis of major Moroccan domestic sectors interdependencies and volatility spillovers using multivariate GARCH models
El Jebari, Ouael; Hakmaoui, Abdelati - In: International journal of computational economics and … 10 (2020) 3, pp. 291-307
Persistent link: https://www.econbiz.de/10012271063
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Speculative ratios and returns volatility in the South African white maize futures market
Sayed, Ayesha; Auret, C. - In: Cogent economics & finance 11 (2023) 1, pp. 1-21
This paper examines the relationship between trading activity and returns volatility in white maize futures listed on … the South African Futures Exchange (SAFEX) and investigates the impact of speculative activity on volatility. Returns … volatility is estimated using a GARCH (1,1) model. Trading activity changes are observed by computing two negatively correlated …
Persistent link: https://www.econbiz.de/10014500465
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Money and foreign exchange markets dynamics in Nigeria : a multivariate GARCH approach
Atoi, Ngozi V.; Nwambeke, Chinedu G. - In: CBN journal of applied statistics 12 (2021) 1, pp. 109-138
and volatility spillovers between Nigeria Naira/US Dollar Bureau De Change (BDC) exchange rate and interbank call rate … is utilized to investigate shocks and volatility spillover of the rates. The estimated DCC-GARCH (1, 1) reveals that …, 1) model. Furthermore, the effects of news (shocks spillover) are bi-directional across the markets. However, volatility …
Persistent link: https://www.econbiz.de/10012604406
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Volatility spillovers among the cryptocurrency time series
Mighri, Zouheir Ahmed; Al Saggaf, Majid Ibrahim - In: International journal of economics and financial issues … 9 (2019) 3, pp. 81-90
Persistent link: https://www.econbiz.de/10012149515