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1-4 of 4
Keywords: Volatility
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Journal Articles
Multifractal cross-correlation analysis between crude oil and agricultural futures markets: evidence from Russia–Ukraine conflict
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Journal of Agribusiness in Developing and Emerging Economies (2025) 15 (1): 19–42.
Published: 15 May 2023
... analysis. Further, crude oil has been a determinant in explaining volatility increase after the beginning of the conflict, becoming a net transmitter of return spillover, while wheat and soybeans become net volatility receivers (Fang and Shao, 2022 ; Hassen and El Bilali, 2022 ; Wang et al...
Journal Articles
Price discovery and volatility spillover: an empirical evidence from spot and futures agricultural commodity markets in India
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Journal of Agribusiness in Developing and Emerging Economies (2020) 10 (4): 447–473.
Published: 27 May 2020
... and volatility spillover in Indian agriculture spot and futures commodity markets. Design/methodology/approach This study uses Granger causality, vector error correction model (VECM) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) to examines the price discovery...
Journal Articles
Investigating the price volatility transmission mechanisms of selected fresh vegetable chains in Greece
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Journal of Agribusiness in Developing and Emerging Economies (2020) 10 (5): 587–611.
Published: 16 April 2020
...Anthony N. Rezitis; Dimitrios N. Pachis Purpose This paper attempts to model the transmission of volatility between producer and consumer prices in the fresh potato, tomato, and cucumber markets in Greece. Design/methodology/approach The transmission mechanism of the price volatility...
Journal Articles
Do seasonality, break and spillover effects explain commodity price volatility: Evidence from the Indian commodity markets
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Journal of Agribusiness in Developing and Emerging Economies (2018) 8 (1): 144–170.
Published: 12 March 2018
...Debashish Maitra Purpose The purpose of this paper is to understand the volatility in commodity futures and spot markets. The study starts with a few questions: first, the effect of seasonality on the volatility is studied. Thereafter, the presence of structural breaks in the variance...
