volatility impulse response function

On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets

Addressing the volatility spillovers of agricultural commodities is important for at least two reasons. First, for the last several years, the volatility of agricultural commodity prices seems to have increased. Second, according to the Food and Agriculture Organization, there is a strong need for understanding the potential (negative) impacts on food security caused by food commodity volatilities.

Do Agriculture Commodities Spill over onto Latin Stock Markets?

Addressing the volatility spillovers of agricultural commodities is important for at least two reasons.
First, for the last several years, the volatility of agricultural commodity prices seems to have
increased. Second, according to the Food and Agriculture Organization, there is a strong need for
understanding the potential (negative) impacts on food security caused by food commodity volatilities.
This paper aims at investigating the presence, the size, and the persistence of volatility spillovers