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Research . 2017
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Return and volatility spillover effects in agricultural commodity markets

Authors: Bernhardt, Matthias;

Return and volatility spillover effects in agricultural commodity markets

Abstract

This paper provides insights into agricultural commodity markets in terms of return and volatility spillover effects. To replicate a broad agricultural market, grain products, softs and oilseeds are taken into account, including daily spot prices for sugar, wheat, soybeans and coffee over the period 2008-2016. The study shows the importance of both asymmetry and risk in spot return's volatility and spot returns itself, respectively. During the study the VAR(1)-GARCH-ABEKK(1,1)-in-mean model emerged as the best model to capture the special characteristics of spot market returns. The study provides evidence of return and volatility linkages between agricultural commodities. Based on the model results optimal dynamic portfolio weights and dynamic hedge ratios are calculated.

Keywords

ddc:330, optimal hedge ratios, Agricultural commodity spot markets, VAR-ABEKK-in-mean, optimal asset allocation

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
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