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Price dynamics in agricultural commodity markets: a comparison of European and US markets

โœ Scribed by Statnik, Jean-Christophe; Verstraete, David


Book ID
125341094
Publisher
Springer-Verlag
Year
2014
Tongue
English
Weight
187 KB
Volume
48
Category
Article
ISSN
0377-7332

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The information content of implied volat
โœ Pierre Giot ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 112 KB ๐Ÿ‘ 2 views

## Abstract In this article we compare the incremental information content of lagged implied volatility to GARCH models of conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. We also assess the relevance of the additional information provided b