Dynamic spillovers among major energy and cereal commodity prices

Walid Mensi, Shawkat Hammoudeh, Duc Khuong Nguyen and Seong-Min Yoon

No 2014-160, Working Papers from Department of Research, Ipag Business School

Abstract: Over the past decade, the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them. This article deals with the dyna

Keywords: Cereal; Energy; OPEC meetings; Volatility spillovers; Multivariate GARCH (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-agr and nep-ene
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Citations: View citations in EconPapers (170)

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