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Keywords: Conditional volatility
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Journal Articles
Price and volatility transmissions between natural gas, fertilizer, and corn markets
Available to Purchase
Journal:
Agricultural Finance Review
Agricultural Finance Review (2016) 76 (1): 151–171.
Published: 03 May 2016
... significant importance. Design/methodology/approach – The authors jointly estimate a vector error correction model for the conditional mean equation and a multivariate generalized autoregressive heteroskedasticity model for the conditional volatility equation to investigate the interactions between...
