The volatility connectedness between agricultural commodity and agri businesses: Evidence from time-varying extended joint approach
| dc.contributor.author | Efe Caglar Cagli | |
| dc.contributor.author | Pinar Evrim-Mandaci | |
| dc.contributor.author | Dilvin Taşkın | |
| dc.date.accessioned | 2025-10-06T17:49:33Z | |
| dc.date.issued | 2023 | |
| dc.description.abstract | This paper investigates the volatility connectedness between ten major agribusiness common stock prices and various agricultural commodity prices between August 11 2005 and November 4 2022. We employ the time-varying parameter vector autoregressions (TVP-VAR) extended joint connectedness framework. The results show that agribusiness stocks are net volatility transmitters whereas agricultural commodities are net volatility receivers. The results provide significant implications for investors and policymakers concerned with commodity prices. © 2022 Elsevier B.V. All rights reserved. | |
| dc.identifier.doi | 10.1016/j.frl.2022.103555 | |
| dc.identifier.issn | 15446123 | |
| dc.identifier.issn | 1544-6123 | |
| dc.identifier.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85144030447&doi=10.1016%2Fj.frl.2022.103555&partnerID=40&md5=9e6933203d558964ce869fb1903256cc | |
| dc.identifier.uri | https://gcris.yasar.edu.tr/handle/123456789/8479 | |
| dc.language.iso | English | |
| dc.publisher | Elsevier Ltd | |
| dc.relation.ispartof | Finance Research Letters | |
| dc.source | Finance Research Letters | |
| dc.subject | Agribusinesses, Agricultural Commodities, Extended Joint Connectedness, Tvp-var Model | |
| dc.title | The volatility connectedness between agricultural commodity and agri businesses: Evidence from time-varying extended joint approach | |
| dc.type | Article | |
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| person.identifier.scopus-author-id | Cagli- Efe Caglar (36543674000), Evrim-Mandaci- Pinar (44861244200), Taşkın- Dilvin (57199073908) | |
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