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	Provedor de dados AgEcon (2) Autor Hernandez, Manuel A. (2) Gardebroek, Cornelis (1) Ibarra, Raul (1) Trupkin, Danilo R. (1) Palavra-chave Risk and Uncertainty (2) Agricultural commodities (1) C32 (1) Futures markets (1) G15 (1) Multivariate GARCH (1) Q11 (1) Volatility transmission (1) Mais... Tipo do documento Presentation (2) Ano 2012 (2) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 Primeira ... 1 ... Última Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets AgEcon Gardebroek, Cornelis; Hernandez, Manuel A.. This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher interaction between ethanol and corn markets in recent years, particularly after 2006. We only observe, however, significant volatility spillovers from corn to ethanol prices but not the converse. We also do not find major cross-volatility effects from oil to corn markets. The results do not provide evidence of volatility in energy markets stimulating price volatility in grain markets. Tipo: Presentation Palavras-chave: Risk and Uncertainty. Ano: 2012 URL: http://purl.umn.edu/122476 How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets AgEcon Hernandez, Manuel A.; Ibarra, Raul; Trupkin, Danilo R.. This paper examines the dynamics of volatility across major global exchanges for corn, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach and account for the potential bias that may arise when considering exchanges with different closing times. The results indicate that agricultural markets are highly interrelated and there are both own- and cross-volatility spillovers and dependence among most of the exchanges. Chicago particularly plays a major role in terms of spillover effects over other markets. Additionally, the level of interdependence between exchanges has only increased in recent years for some commodities. Tipo: Presentation Palavras-chave: Volatility transmission; Agricultural commodities; Futures markets; Multivariate GARCH; Risk and Uncertainty; Q11; G15; C32. Ano: 2012 URL: http://purl.umn.edu/122511 Registros recuperados: 2 Primeira ... 1 ... Última

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