Hernandez, Manuel; Ibarra, Raul; Trupkin, Danilo - Facultad de Ciencias Empresariales y Economía, … - 2011
This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States,...