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Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range-based estimator
agricultural commodity market financial crisis of 2008–2009 futures markets historical price volatility intra-day data
2015/6/8
The paper examines the price volatility spillovers among the crude oil, soybeans, corn, wheat, and sugar futures markets over the period 1/1/2006–11/29/2013. We separately investigate the periods of t...
Volatility and stabilization of the price of coffee and cocoa in C魌e d扞voire
farm gate price international price price fluctuation buffer stock cocoa and coffee markets
2014/2/24
The aim of this paper was to study the coffee and cocoa price volatility in C魌e d扞voire and to understand the mechanism of price stabilization. Thus, this paper shows that the international prices and...
Modeling and forecasting volatility in global food commodity prices
volatility forecast fat-tail distribution food commodities
2014/2/27
To capture the volatility in the global food commodity prices, we employed two competing models, the thin tailed the normal distribution, and the fat-tailed Student t-distribution models. Results base...