Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects
AbstractFluctuations in commodity prices are a major concern to many market participants. This paper uses realized volatility methods to calculate daily volatility and correlation estimates for three grain futures prices (corn, soybean and wheat). The realized volatility estimates exhibit the properties consistent with the stylized facts observed in earlier studies. According to the realized correlations and regression coefficients, the spot returns from the three grain futures are positively related. The realized estimates are then used to evaluate the degree of volatility transmissions across grain future prices. The impulse response analysis is conducted by fitting the vector autoregressive model to realized volatility and correlation estimates, using the bootstrap method for statistical inference. The results indicate that there exist rich dynamic interactions among the volatilities and correlations across the grain futures markets.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 22/05.
Length: 28 pages
Date of creation: Sep 2005
Date of revision:
Contact details of provider:
Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
More information through EDIRC
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-09-29 (All new papers)
- NEP-FIN-2005-09-29 (Finance)
- NEP-FMK-2005-09-29 (Financial Markets)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001.
"Modeling and Forecasting Realized Volatility,"
NBER Working Papers
8160, National Bureau of Economic Research, Inc.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," Center for Financial Institutions Working Papers 01-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009.
"Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns,"
CARF-F-175, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2009.
- Chang, Chia-Lin & Khamkaew, Thanchanok & McAleer, Michael & Tansuchat, Roengchai, 2011. "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1482-1490.
- Khamkaew, T. & Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2009. "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Econometric Institute Research Papers EI 2009-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," Working Papers in Economics 10/38, University of Canterbury, Department of Economics and Finance.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," KIER Working Papers 723, Kyoto University, Institute of Economic Research.
- Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CIRJE F-Series CIRJE-F-675, CIRJE, Faculty of Economics, University of Tokyo.
- Pozo, Veronica F. & Schroeder, Ted C., 2012. "Price and Volatility Spillover between Livestock and Related Commodity Markets," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124798, Agricultural and Applied Economics Association.
- Younes Boujelbène & Majdi Ksantini, 2009. "La transmission entre les marchés boursiers :Une analyse en composante principale," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 52(2), pages 161-194.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Simone Grose).
If references are entirely missing, you can add them using this form.