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Asymmetric Price Transmission and Volatility Spillovers

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  • Zhen, Miao
  • Qiu, Feng
  • Rude, James
  • Unterschultz, James

Abstract

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  • Zhen, Miao & Qiu, Feng & Rude, James & Unterschultz, James, 2014. "Asymmetric Price Transmission and Volatility Spillovers," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170151, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea14:170151
    DOI: 10.22004/ag.econ.170151
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    References listed on IDEAS

    as
    1. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 537-572.
    2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    3. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    Full references (including those not matched with items on IDEAS)

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    Keywords

    Agribusiness; Risk and Uncertainty;

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