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On the joint volatility dynamics in international dairy commodity markets
The present study investigates the price (co)volatility of four dairy commodities—skim milk powder, whole milk powder, butter, and cheddar cheese—in three major dairy markets. It uses a multivariate factor stochastic volatility model for estimating the time‐varying covariance and correlation matrice...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
John Wiley and Sons Inc.
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8362140/ https://www.ncbi.nlm.nih.gov/pubmed/34413698 http://dx.doi.org/10.1111/1467-8489.12433 |