How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets
in European Review of Agricultural Economics
April 2014; p ublished online August 2013 .
Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; International Financial Markets; Agricultural Economics. 8979 words.
This paper examines the dynamics of volatility across major global exchanges for corn, wheat and soybeans in the USA, Europe and Asia. We follow a multivariate GARCH approach and account...