Volatility spillovers in commodity markets: A large t-vector autoregressive approach
Abstract
Prices of commodities have shown large fluctuations. A high volatility of one commodity today may impact the volatility of another commodity tomorrow. As such, agricultural and energy commodities are closely dependent due to the expansion of the biofuel industry. We study volatility spillovers among a large number of energy, agriculture and biofuel commodities using the vector auto regressive (VAR) model. To account for the possible fat-tailed...
Paper Details
Title
Volatility spillovers in commodity markets: A large t-vector autoregressive approach
Published Date
Jan 1, 2020
Journal
Volume
85
Pages
104555 - 104555
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