Crude Oil Volatility Transmission Across Food Commodity Markets: A Multivariate BEKK-GARCH Approach:
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"Crude Oil Volatility Transmission A..." refers background in this paper
...While extant literature has focused on spot cross commodity price nexus, few researchers have studied the cross-commodity futures price behavior (Sensoy et al., 2015; Tiwari & Sahadudheen, 2015; Todorova et al., 2014)....
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43 citations
"Crude Oil Volatility Transmission A..." refers background in this paper
...…(Abbott et al., 2008; Baffes, 2007; Ciaian & Kancs, 2011; Gilbert, 2010; Harri et al., 2009; Hassouneh et al., 2012; Kristoufek et al., 2012; Pala, 2013; Reboredo, 2012; Tadesse et al., 2014; Wang et al., Thenmozhi and Maurya 135 2014), few researchers have confirmed volatility transmission…...
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"Crude Oil Volatility Transmission A..." refers background in this paper
...Zhao and Goodwin (2011) find volatility spillover from corn to soybean at lower levels and from soybean to corn at higher levels of volatility and find mixed results depending on the level of volatility....
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