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Dynamic spillovers among major energy and cereal commodity prices

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  • Walid Mensi
  • Shawkat Hammoudeh
  • Duc Khuong Nguyen
  • Seong-Min Yoon

Abstract

Over the past decade, the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them. This article deals with the dyna

Suggested Citation

  • Walid Mensi & Shawkat Hammoudeh & Duc Khuong Nguyen & Seong-Min Yoon, 2014. "Dynamic spillovers among major energy and cereal commodity prices," Working Papers 2014-160, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-160
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    More about this item

    Keywords

    Cereal; Energy; OPEC meetings; Volatility spillovers; Multivariate GARCH;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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