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Price and Volatility Spillover between Livestock and Related Commodity Markets

  • Pozo, Veronica F.
  • Schroeder, Ted C.

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Paper provided by Agricultural and Applied Economics Association in its series 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington with number 124798.

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Date of creation: 2012
Date of revision:
Handle: RePEc:ags:aaea12:124798
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  1. Buguk, Cumhur & Hudson, Darren & Hanson, Terrill R., 2003. "Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(01), April.
  2. Teresa Serra & David Zilberman & José Gil, 2011. "Price volatility in ethanol markets," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 38(2), pages 259-280, June.
  3. Nicholas Apergis & Anthony Rezitis, 2003. "Agricultural price volatility spillover effects: the case of Greece," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 30(3), pages 389-406, September.
  4. Xiaodong Du & Cindy L. Yu & Dermot J. Hayes, 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Center for Agricultural and Rural Development (CARD) Publications 09-wp491, Center for Agricultural and Rural Development (CARD) at Iowa State University.
  5. Saghaian, Sayed H., 2010. "The Impact of the Oil Sector on Commodity Prices: Correlation or Causation?," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 42(03), August.
  6. Mutondo, Joao E. & Brorsen, B. Wade & Henneberry, Shida Rastegari, 2009. "Welfare Impacts of BSE-Driven Trade Bans," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 38(3), December.
  7. Seo, Byeongseon, 2007. "Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 137(1), pages 68-111, March.
  8. Bubák, Vít & Kocenda, Evzen & Zikes, Filip, 2011. "Volatility transmission in emerging European foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2829-2841, November.
  9. Titus O. Awokuse & David A. Bessler, 2003. "Vector Autoregressions, Policy Analysis, and Directed Acyclic Graphs: An Application to the U.S. Economy," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 1-24, May.
  10. Jae H. Kim & Hristos Doucouliagos, 2005. "Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects," Monash Econometrics and Business Statistics Working Papers 22/05, Monash University, Department of Econometrics and Business Statistics.
  11. Zijun Wang & David A. Bessler, 2006. "Price and quantity endogeneity in demand analysis: evidence from directed acyclic graphs," Agricultural Economics, International Association of Agricultural Economists, vol. 34(1), pages 87-95, 01.
  12. El Hedi Arouri, Mohamed & Jouini, Jamel & Nguyen, Duc Khuong, 2011. "Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1387-1405.
  13. Babula, Ronald A. & Bessler, David A. & Payne, Warren S., 2004. "Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 36(01), April.
  14. Rezitis, Anthony N., 2003. "Volatility Spillover Effects in Greek Consumer Meat Prices," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 4(1), January.
  15. Skintzi, Vasiliki D. & Refenes, Apostolos N., 2006. "Volatility spillovers and dynamic correlation in European bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 23-40, February.
  16. Anderson, David P. & Anderson, John D. & Sawyer, Jason, 2008. "Impact of the Ethanol Boom on Livestock and Dairy Industries: What Are They Going to Eat?," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 40(02), August.
  17. Chaker Aloui, 2007. "Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 669-685.
  18. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
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