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Volatility spillover between oil and agricultural commodity markets

✍ Scribed by Nazlioglu, Saban; Erdem, Cumhur; Soytas, Ugur

Book ID
121431560
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
349 KB
Volume
36
Category
Article
ISSN
0140-9883

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πŸ“œ SIMILAR VOLUMES

The information content of implied volat
The information content of implied volatility in agricultural commodity markets
✍ Pierre Giot πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 112 KB πŸ‘ 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