Dynamic spillovers among major energy and cereal commodity prices
Duc Khuong Nguyen and
Seong-Min Yoon ()
No 2014-160, Working Papers from Department of Research, Ipag Business School
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)
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Persistent link: https://EconPapers.repec.org/RePEc:ipg:wpaper:2014-160
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