TITLE:
On Volatility Transmission from Crude Oil to Agricultural Commodities
AUTHORS:
Dilip Kumar
KEYWORDS:
Volatility Spillover, Crude Oil, Agricultural Commodities, Volatility Estimator, Sudden Changes
JOURNAL NAME:
Theoretical Economics Letters,
Vol.7 No.2,
February
3,
2017
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.