What Bayesian quantiles can tell about volatility transmission between the major agricultural futures?
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DOI: 10.17221/127/2019-AGRICECON
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- Wang, Lu & Wu, Rui & Ma, WeiChun & Xu, Weiju, 2023. "Examining the volatility of soybean market in the MIDAS framework: The importance of bagging-based weather information," International Review of Financial Analysis, Elsevier, vol. 89(C).
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Keywords
bidirectional volatility spillovers; regime-switching volatilities; Monte Carlo estimation;All these keywords.
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