Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis
This study examines the nature and dynamics of volatility spillovers between crude oil and agricultural commodity markets since the 2008–09 financial crisis. We tested for volatility spillovers with a flexible bivariate heterogeneous autoregressive model to identify the short-, mid-, and l...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-01-01
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| Series: | Sustainability |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2071-1050/11/2/396 |