Realized volatility and correlation in grain futures markets: testing for spillover effects

Kim, Jae H and Doucouliagos, Chris 2009, Realized volatility and correlation in grain futures markets: testing for spillover effects, Review of futures markets, vol. 17, no. 3, Winter, pp. 275-300.

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Title Realized volatility and correlation in grain futures markets: testing for spillover effects
Author(s) Kim, Jae H
Doucouliagos, Chris
Journal name Review of futures markets
Volume number 17
Issue number 3
Season Winter
Start page 275
End page 300
Total pages 26
Publisher Chicago Board of Trade
Place of publication Chicago, Ill.
Publication date 2009
ISSN 0898-011X
Keyword(s) realized volatility methods
correlation estimates
grain futures markets
Summary Fluctuations in commodity prices are a major concern to many market participants. This paper uses realized volatility methods to calculate daily volatility and correlation estimates for three grain futures prices (corn, soybean, and wheat). The realized volatility estimates exhibit properties consistent with the stylized facts observed in earlier studies. According to daily realized correlations and regression coefficients, the spot returns from the three grain futures are positively related. The realized estimates are then used to evaluate the degree of volatility transmission across grain futures prices. The impulse response analysis is conducted by fitting the vector autoregressive model to realized volatility and correlation estimates, using the bootstrap method for statistical inference. The results indicate that rich dynamic interactions exist among the volatilities and correlations across the grain futures markets.
Language eng
Field of Research 140305 Time-Series Analysis
Socio Economic Objective 910401 Industrial Relations
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2009
Copyright notice ©2009, Chicago Board of Trade
Persistent URL http://hdl.handle.net/10536/DRO/DU:30020736

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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