
handle: 10419/184744
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.
ddc:330, optimal hedge ratios, Agricultural commodity spot markets, VAR-ABEKK-in-mean, optimal asset allocation
ddc:330, optimal hedge ratios, Agricultural commodity spot markets, VAR-ABEKK-in-mean, optimal asset allocation
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