Lya Sierra, Luis Eduardo Girón, V. Girón, Andrés Girón
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引用次数: 4
Abstract
Abstract This paper employs a multivariate constant conditional correlation (CCC) GARCH model and the VAR-AGARCH model to examine whether the U.S. equity and money market have a volatility spillover effect on the returns of the most important agricultural export products of Latin America over the turbulent 2005–2016 period. These results indicate the strengthening of crossmarket linkages between U.S. equity and money market and agricultural raw material commodities (notably sugar and soy) during the period of an upward trend and financial turmoil.
期刊介绍：
Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance.
Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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