Price and Volatility Transmissions among Natural Gas, Fertilizer, and Corn Markets: A Revisit
نویسندگان
چکیده
In this paper, we revisit price and volatility transmission among natural gas, fertilizer, corn markets; an important issue was explored in previous work. An update of the results is urgently needed due to recent enormous commodities, energy markets. We followed same methodology as work used vector error correction model multivariate generalized autoregressive heteroskedasticity model, but adopted a new gather higher frequency data for fertilizer estimate interactions examine mechanisms between these market prices. Our are consistent with research showing that gas returns short-term significantly affected by its lagged from itself markets, it will be return sand However, did not find significant relationship corn, markets May November 2021. Moreover, conditional prices affect vice versa.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2022
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm15020091