On Volatility Transmission from Crude Oil to Agricultural Commodities - Theoretical Economics Letters

TEL > Vol.7 No.2, February 2017

Theoretical Economics Letters

Volume 7, Issue 2 (February 2017)

ISSN Print: 2162-2078 ISSN Online: 2162-2086

Google-based Impact Factor: 1.19 Citations h5-index & Ranking

On Volatility Transmission from Crude Oil to Agricultural Commodities ()

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Download as PDF (Size: 1387KB) PP. 87-101

DOI: 10.4236/tel.2017.72009 1,788 Downloads 3,646 Views Citations

Author(s)

Dilip Kumar

Affiliation(s)

Indian Institute of Management, Kashipur, India.

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.

KEYWORDS

Volatility Spillover, Crude Oil, Agricultural Commodities, Volatility Estimator, Sudden Changes

Share and Cite:

Kumar, D. (2017) On Volatility Transmission from Crude Oil to Agricultural Commodities. Theoretical Economics Letters, 7, 87-101. doi: 10.4236/tel.2017.72009.

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