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Understanding return and volatility spillovers among major agricultural commodities

Amine Lahiani, Duc Khuong Nguyen and Thierry Vo

No 2014-243, Working Papers from Department of Research, Ipag Business School

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

Keywords: agricultural commodities; volatility spillovers; optimal hedging; VAR-GARCH. (search for similar items in EconPapers)
JEL-codes: C32 Q14 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-agr and nep-rmg
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