The Volatility Spillover Effects and Optimal Hedging Strategy in the Corn Market
| dc.creator | Wu, Feng | |
| dc.creator | Guan, Zhengfei | |
| dc.date | 2017-04-01T19:33:06Z | |
| dc.date.accessioned | 2026-07-09T04:45:14Z | |
| dc.description | This article examines the volatility spillovers from energy market to corn market. Using a volatility spillover model from the finance literature, we found significant spillovers from energy market to corn cash and futures markets, and the spillover effects are time-varying. The business cycle proxied by crude oil prices is shown to affect the magnitude of spillover effects over time. Based on the strong informational linkage between energy market and corn market, a cross hedge strategy is proposed and its performance studied. The simulation outcomes show that compared to alternative strategies of no hedge, constant hedge, and GARCH hedge, the cross hedge does not yield superior risk-reduction performance. | |
| dc.identifier | doi:10.22004/ag.econ.49453 | |
| dc.identifier | https://ageconsearch.umn.edu/record/49453/files/613699.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/49453 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/554424 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/49453 | |
| dc.title | The Volatility Spillover Effects and Optimal Hedging Strategy in the Corn Market | |
| dc.type | Text |