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How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

Manuel A. Hernandez, Raul Ibarra and Danilo R. Trupkin.

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...

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