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Short and long-term volatility transmission from oil to agricultural commodities – The robust quantile regression approach
Borsa Istanbul Review ( IF 6.3 ) Pub Date : 2020-10-23 , DOI: 10.1016/j.bir.2020.10.008
Dejan Živkov , Slavica Manić , Jasmina Đurašković

This paper investigates permanent and transitory spillover effects from Brent oil futures to four agricultural futures – 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.



中文翻译:

从石油到农产品的短期和长期波动传递–稳健的分位数回归方法

本文研究了布伦特原油期货对四种农业期货(玉米,小麦,大豆和油菜籽)的永久性和暂时性溢出效应。考虑到六个不同的分布函数,我们通过分量GARCH模型构造了永久波动率和暂时波动率。创建的波动率时间序列被嵌入到稳健的分位数回归框架中。石油市场的暂时性影响对农业商品的影响要大于其永久性影响,这表明短期信息流的影响要大于基本因素。结果表明,与石油结合的最佳多样化工具是大豆期货,因为它受石油波动冲击最少。

更新日期:2020-12-23
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