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dc.contributor.authorGözgör, Giray
dc.contributor.authorMemiş, Cahit
dc.date.accessioned2016-04-12T08:47:00Z
dc.date.available2016-04-12T08:47:00Z
dc.date.issued2015
dc.identifier.citationGözgör, G., & Memiş, C. (2015). Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range-based estimator. Agricultural Economics (Czech Republic), 61(5), 214-221. http://dx.doi.org/10.17221/162/2014-AGRICECONen_US
dc.identifier.issn0139-570X
dc.identifier.urihttp://dx.doi.org/10.17221/162/2014-AGRICECON
dc.identifier.urihttp://hdl.handle.net/11376/2524
dc.descriptionGözgör, Giray (Dogus Author)en_US
dc.description.abstractThe paper examines the price volatility spillovers among the crude oil, soybeans, corn, wheat, and sugar futures markets over the period 1/1/2006–11/29/2013. We separately investigate the periods of the pre-crisis, the crisis, and the post-crisis in financial markets. We use the Yang-Zhang estimators for the historical volatility and find that there is a volatility sprawl from the crude oil to corn markets. T ere is also bi-directional causality between the corn and soybeans markets. In addition, we observe significant volatility spillovers from both the soybeans and the corn markets to the wheat markets. The results are also valid in a different sub-period analysis.en_US
dc.language.isoengen_US
dc.publisherAgricultural Economicsen_US
dc.relation.isversionof10.17221/162/2014-AGRICECONen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectAgricultural Commodity Marketen_US
dc.subjectFinancial Crisis of 2008–2009en_US
dc.subjectFutures Marketsen_US
dc.subjectHistorical Price Volatilityen_US
dc.subjectIntra-Day Dataen_US
dc.titlePrice volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range-based estimatoren_US
dc.typearticleen_US
dc.relation.journalAgricultural Economics (Czech Republic)en_US
dc.contributor.departmentDoğuş Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Ekonomi ve Finans Bölümüen_US
dc.contributor.authorIDTR102360en_US
dc.identifier.volume61en_US
dc.identifier.issue5en_US
dc.identifier.startpage214en_US
dc.identifier.endpage221en_US


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