The volatility linkage between energy and agricultural futures markets with external shocks
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DOI: 10.1016/j.irfa.2019.01.011
Abstract: Abstract This paper investigates the volatility linkage between energy and agricultural futures returns and how this linkage responds to external macroeconomic shocks. A framework combining the VARMA-BEKK-GARCH model and the Permanent-Transitory decomposition technology is employed… read more here.
Keywords: energy agricultural; volatility; linkage; agricultural futures ... See more keywords