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How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets

M.A. Hernandez ; R. Ibarra ; D.R. Trupkin |

Dans European review of agricultural economics [Papier] (vol. 41, n. 2, April 2014)

This paper examines the dynamics of volatility across major global exchanges for corn, wheat and soybeans in the USA, Europe and Asia. We follow a multivariate GARCH approach and account for the potential bias that may arise when considering exc[...]

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