Volatility transmission on international futures markets during the 2007/08 price surge

Jochen Schmitz; Oliver von Ledebur

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Volatility transmission on international futures markets during the 2007/08 price surge

机译：2007/08年价格飙升期间国际期货市场的波动传递

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The study is a contribution to the debate on the commodity price spike in 2007 to 2008 and the relationship among commodity futures markets. The transmission of price volatility between futures markets is analysed. The background question is whether,and to what extent, the volatility of agricultural futures at different market places was transferred during the price changes of 2008. The volatility of maize futures at different exchanges is modelled as a multivariate GARCH-process. By doing so, interactions between markets in different venues are incorporated. Estimation results are discussed against the background of the developments in agricultural and biofuel policy.

机译：该研究为有关2007年至2008年商品价格飙升以及商品期货市场之间关系的辩论做出了贡献。分析了期货市场之间价格波动的传递。背景问题是，在2008年价格变化期间，不同市场的农业期货的波动性是否以及在何种程度上得到了转移。不同交易所的玉米期货的波动性被建模为多元GARCH过程。通过这样做，合并了不同地点的市场之间的交互。在农业和生物燃料政策发展的背景下讨论了估算结果。

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来源
《Landbauforschung》 |2011年第4期|共10页
作者
Jochen Schmitz; Oliver von Ledebur;
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正文语种 eng
中图分类农业科学;
关键词
commodity futures; corn; time series; price volatility transmission; multivariate GARCH.; Warenterminkontrakte; Mais; Zeitreihenanalyse; Volatilit?tsübertragung; multivariates GARCH;

机译：大宗商品期货;玉米;时间序列;价格波动传递;多元GARCH。;Warenterminkontrakte;Mais;Zeitreihenanasese;Volatilit？tsübertragung;多元GARCH;

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1. Volatility transmission on international futures markets during the 2007/08 price surge [J] . Jochen Schmitz, Oliver von Ledebur Landbauforschung . 2011,第4期

机译：2007/08年价格飙升期间国际期货市场的波动传递
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4. Do markets behave as expected? Empirical test using both implied volatility and futures prices for the Taiwan Stock Market [C] . A. P. Chen, H. Y. Chiu, C. C. Sheng, International Conference on Computational Finance and Its Applications . 2006

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7. International to domestic price transmission in fourteen developing countries during the 2007-08 food crisis [O] . Baltzer Kenneth 2013

机译：2007-08粮食危机期间，14个发展中国家的国际价格与国内价格相关
8. Feed Outlook Special Report, August 2009. Issues and Prospects in Corn, Soybeans, and Wheat Futures Markets: New Entrants, Price Volatility, and Market Performance Implications [R] . Aulerich, N., Hoffman, L., Plato, G. 2009

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Volatility transmission on international futures markets during the 2007/08 price surge

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