Cross country mean and volatility spillover effects of food prices: multivariate GARCH analysis
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- Regnier, Eva, 2007. "Oil and energy price volatility," Energy Economics, Elsevier, vol. 29(3), pages 405-427, May.
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- Mehmet ORHAN & Halil Ä°brahim Ã‡ELÄ°KEL, 2014. "The Spillover Effects of Fedâ€™s Policies with Emphasis to the Fragile Five," Journal of Economics and Behavioral Studies, AMH International, vol. 6(12), pages 1011-1020.
- Wanti Fitrianti & Yusman Syaukat & Sri Hartoyo & Anna Fariyanti, 2019. "The Spillover Effect of Shocks of Fundamental Factors and Speculative Activity on Prices Volatility of World Vegetable Oil," International Journal of Economics and Financial Issues, Econjournals, vol. 9(2), pages 230-240.
- Serra, Teresa & Zilberman, David, 2013. "Biofuel-related price transmission literature: A review," Energy Economics, Elsevier, vol. 37(C), pages 141-151.
- Dahl, Roy Endré & Jonsson, Erlendur, 2018. "Volatility spillover in seafood markets," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 44-59.
- van Dieijen, M.J. & Borah, A. & Tellis, G.J. & Franses, Ph.H.B.F., 2016. "Volatility Spillovers Across User-Generated Content and Stock Market Performance," ERIM Report Series Research in Management ERS-2016-008-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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KeywordsMean; volatility; spillover; multivariate TGARCH; cross country;
- D4 - Microeconomics - - Market Structure, Pricing, and Design
- L7 - Industrial Organization - - Industry Studies: Primary Products and Construction
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