Naslov (eng)

Short and long-term volatility transmission from oil to agricultural commodities e The robust quantile regression approach

Autor

Živkov, Dejan
Manić, Slavica
Đurašković, Jasmina

Opis (eng)

Abstract This paper investigates permanent and transitory spillover effects from Brent oil futures to four agricultural futures e corn, wheat, soybean and canola. We construct permanent and transitory volatilities via component GARCH model, considering six different distribution functions. Created volatility time-series are embedded in the robust quantile regression framework. Transitory effect from oil market has slightly stronger influence on the agricultural commodities than its permanent counterpart, which is a sign that short-term information flow has more intense effect than fundamental factors. The results indicate that the best diversification instrument in combination with oil is soybean futures, since it is the least subject to oil volatility shocks.

Jezik

engleski

Datum

2020

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY 4.0 - Creative Commons Autorstvo 4.0 International License.

http://creativecommons.org/licenses/by/4.0/legalcode

Predmet

Keywords: Oil and agricultural futures; Volatility spillover effect; Component GARCH; Robust quantile regression

Deo kolekcije (1)

o:28218

Ekonomski fakultet