On Volatility Transmission from Crude Oil to Agricultural Commodities
Loading...
Date
2017-02
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Scientific Research
Abstract
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.
Description
Keywords
Volatility Spillover, Crude Oil, Agricultural Commodities, Volatility Estimator, Sudden Changes
Citation
Theoretical Economics Letters, 2017, 7, 87-101