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The impact of violent political conflict on commodity prices: The Israeli food market
Rubin, Ofir D.; Ihle, Rico; Kachel, Yael; Goodwin, Barry K. - Agricultural and Applied Economics Association - AAEA - 2013
fruits and vegetables using a GARCH framework and control for the state of the economy, exchange rate effects, international …
Persistent link: https://www.econbiz.de/10010881014
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Interrelationship and Volatility Transmission between Grain and Oil Prices
Kong, Minji; Han, Doo Bong; Nayga Jr., Rodolfo M. - Agricultural and Applied Economics Association - AAEA - 2012
This study analyzes the interrelationship and volatility between grain and oil prices. Specifically, the objective of this study is to investigate the volatility transmission mechanism of grain prices with oil prices, under the assumption that an increase in crude oil prices not only affects...
Persistent link: https://www.econbiz.de/10010881165
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INTERNATIONAL MARKET INTEGRATION UNDER WTO: EVIDENCE IN THE PRICE BEHAVIORS OF CHINESE AND US WHEAT FUTURES
Du, Wen - Agricultural and Applied Economics Association - AAEA - 2004
price behavior of CZCE with that of the Chicago Board of trade (CBOT) in the US using ARCH/GARCH based univariate and …). Results show both markets can be modeled by an ARCH (1) or a GARCH (1,1), and the models have better fit when conditional …
Persistent link: https://www.econbiz.de/10005338266
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THE TRANSMISSION OF PRICE VOLATILITY IN THE BEEF MARKETS
Natcher, William C.; Weaver, Robert D. - Agricultural and Applied Economics Association - AAEA - 1999
This paper reconsiders the implications of efficient markets for transmission of price volatility across markets. Tests of volatility transmission are based on conditional variances. Results are reported for key grain and beef markets. Transmission across cash, futures, and options is considered.
Persistent link: https://www.econbiz.de/10005806420
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Price volatility in ethanol markets
Serra, Teresa; Zilberman, David - Agricultural and Applied Economics Association - AAEA - 2009
multivariate GARCH process. Our results suggest that crude oil prices not only influence ethanol price levels, but also their …
Persistent link: https://www.econbiz.de/10005000495
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The Volatility Spillover Effects and Optimal Hedging Strategy in the Corn Market
Wu, Feng; Guan, Zhengfei - Agricultural and Applied Economics Association - AAEA - 2009
, constant hedge, and GARCH hedge, the cross hedge does not yield superior risk-reduction performance. …
Persistent link: https://www.econbiz.de/10005012633
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Inside the Black Box: Price Linkage and Transmission Between Energy and Agricultural Markets
Du, Xiaodong; McPhail, Lihong Lu - Agricultural and Applied Economics Association - AAEA - 2011
development of large-scale ethanol production. We use a dynamic conditional correlation multivariate GARCH model to demonstrate a …
Persistent link: https://www.econbiz.de/10009002514
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HIGH PRICE VOLATILITY AND SPILLOVER EFFECTS IN ENERGY MARKETS
Singh, Aaron; Karali, Berna; Ramirez, Octavio A. - Agricultural and Applied Economics Association - AAEA - 2011
Replaced with revised version of paper 07/22/11.
Persistent link: https://www.econbiz.de/10009020960
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Performance and Relevance of Wheat Futures Market in India – An Exploratory Analysis
Sendhil, R.; Ramasundaram, P. - Agricultural and Applied Economics Association - AAEA - 2014
(GARCH) model indicated a high degree of volatility in spot prices right from inception of trading and revival of trading …
Persistent link: https://www.econbiz.de/10011068681