Testing for Volatility Changes in Grain Markets
| dc.creator | Wu, Feng | |
| dc.date | 2017-04-01T19:30:33Z | |
| dc.date.accessioned | 2026-07-09T05:33:41Z | |
| dc.description | We use newly nonparametric volatility measures and break techniques to estimate common breaks across grain futures over the recent ten years. Our results show one structural change in realized volatilities occurred in 2006 for corn and in 2007 for soybean. But the date difference between them cannot be negligible. We disaggregate the realized volatilities into a continuous component and a jump part and found the source of structural beak in realized volatilities is from jumps. | |
| dc.identifier | doi:10.22004/ag.econ.103388 | |
| dc.identifier | https://ageconsearch.umn.edu/record/103388/files/13746.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/103388 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/565309 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/103388 | |
| dc.title | Testing for Volatility Changes in Grain Markets | |
| dc.type | Text |