On Volatility Transmission from Crude Oil to Agricultural Commodities

Kumar, Dilip

dc.contributor.author	Kumar, Dilip
dc.date.accessioned	2018-07-09T08:17:41Z
dc.date.available	2018-07-09T08:17:41Z
dc.date.issued	2017-02
dc.identifier.citation	Theoretical Economics Letters, 2017, 7, 87-101	en_US
dc.identifier.issn	2162-2086
dc.identifier.uri	https://doi.org/10.4236/tel.2017.72009
dc.identifier.uri	http://hdl.handle.net/123456789/1739
dc.description.abstract	The paper examines volatility transmission from crude oil market to agricultural commodities like wheat, corn, cotton and soybeans. We find that the volatility transmission from crude oil to agricultural commodities exhibits sudden changes over a study period. We also examine whether the sudden changes in volatility influence the observed sudden changes in volatility transmission from crude oil to agricultural commodities. Our results indicate the observed sudden change in volatility transmission mechanism is not influenced by sudden changes in volatility series.	en_US
dc.language.iso	en	en_US
dc.publisher	Scientific Research	en_US
dc.subject	Volatility Spillover	en_US
dc.subject	Crude Oil	en_US
dc.subject	Agricultural Commodities	en_US
dc.subject	Volatility Estimator	en_US
dc.subject	Sudden Changes	en_US
dc.title	On Volatility Transmission from Crude Oil to Agricultural Commodities	en_US
dc.type	Article	en_US