The paper examines volatility transmission from crude oil market to agricultural
commodities like wheat, corn, cotton and soybeans. We find that the
volatility transmission from crude oil to agricultural commodities exhibits
sudden changes over a study period. We also examine whether the sudden
changes in volatility influence the observed sudden changes in volatility transmission
from crude oil to agricultural commodities. Our results indicate the
observed sudden change in volatility transmission mechanism is not influenced
by sudden changes in volatility series.