文章基本信息

标题：Short and long-term volatility transmission from oil to agricultural commodities – The robust quantile regression approach
其他标题：Short and long-term volatility transmission from oil to agricultural commodities – The robust quantile regression approach
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作者：Dejan Živkov ; Slavica Manić ; Jasmina Đurašković 等
期刊名称：Borsa Istanbul Review
印刷版ISSN：2214-8450
出版年度：2020
卷号：20
页码：S11-S25
DOI：10.1016/j.bir.2020.10.008
出版社：Elsevier B.V.
摘要：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.
关键词：Oil and agricultural futures; Volatility spillover effect; Component GARCH; Robust quantile regression