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Understanding return and volatility spillovers among major agricultural commodities

Author

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  • Amine Lahiani
  • Duc Khuong Nguyen
  • Thierry Vo

Abstract

We provide comprehensive evidence of return and volatility spillovers for the four major agricultural commodi- ties including sugar, wheat, corn and cotton over the recent period 2003-2010. Our results from the recent VAR- GARCH model of Ling and McAlee

Suggested Citation

  • Amine Lahiani & Duc Khuong Nguyen & Thierry Vo, 2014. "Understanding return and volatility spillovers among major agricultural commodities," Working Papers 2014-243, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-243
    as

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    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_243.pdf
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    References listed on IDEAS

    as
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    7. Nazlioglu, Saban & Erdem, Cumhur & Soytas, Ugur, 2013. "Volatility spillover between oil and agricultural commodity markets," Energy Economics, Elsevier, vol. 36(C), pages 658-665.
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    More about this item

    Keywords

    agricultural commodities; volatility spillovers; optimal hedging; VAR-GARCH.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance

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