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Volatility spillover effects and cross hedging in corn and crude oil futures

✍ Scribed by Feng Wu; Zhengfei Guan; Robert J. Myers


Book ID
111700308
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
220 KB
Volume
31
Category
Article
ISSN
0270-7314

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## Abstract This study investigates the efficiency of the New York Mercantile Exchange (NYMEX) Division light sweet crude oil futures contract market during recent periods of extreme conditional volatility. Crude oil futures contract prices are found to be cointegrated with spot prices and unbiased