DETERMINING THE SHORT AND LONG TERM VOLATILITY SPILLOVERS BETWEEN WHEAT, COTTON AND CORN PRICES IN TURKEY USING THE ASYMMETRIC BEKK-GARCH-MEAN EQUATION MODEL
In the study, the price volatility relationship between wheat, cotton and corn markets was investigated and daily data for the period 02.04.2005-11.03.2020 were used. The VAR-Asymmetric BEKK-GARCH model, which analyzes the markets simultaneously in a single system, was chosen. Persistent long-term u...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Agricultural Sciences and Veterinary Medicine, Bucharest
2023-01-01
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| Series: | Scientific Papers Series : Management, Economic Engineering in Agriculture and Rural Development |
| Online Access: | https://managementjournal.usamv.ro/pdf/vol.23_1/Art53.pdf |
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