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ArticleVolatility transmission in agricultural futures markets

Joscha Beckmann2013

Article2013

Volatility transmission in agricultural futures markets

Joscha Beckmann · Robert Czudaj

98 citations·0/0 files stored·Economic Modelling

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Financial Risk and Volatility Modeling Economics of Agriculture and Food Markets Market Dynamics and Volatility

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1995Multivariate Simultaneous Generalized ARCH 1996Numerical distribution functions for unit root and cointegration tests 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1999Numerical distribution functions of likelihood ratio tests for cointegration 1993Differences of Opinion Make a Horse Race

Cited by

2019Spillover network of commodity uncertainties 2015The effect of global oil price shocks on China's agricultural commodities 2012Speculative bubbles in agricultural commodity markets 2017Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries 2014Economic spillovers between related derivatives markets: The case of commodity and freight markets

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Details

Year2013

Typearticle

Published2013-11-09

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations98

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econmod.2013.09.036

openalex_workW2012946049

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2015

Dynamic convergence of commodity futures: Not all types of commodities are alike

2020Asymmetric and time-frequency spillovers among commodities using high-frequency data

2017Performance Analysis of Four Decomposition-Ensemble Models for One-Day-Ahead Agricultural Commodity Futures Price Forecasting