Volatility spillover effects and cross hedging in corn and crude oil futures

@inproceedings{Wu2011VolatilitySE,
  title={Volatility spillover effects and cross hedging in corn and crude oil futures},
  author={Feng Wu and Zhengfei Guan and Robert John Myers},
  year={2011}
}
Using a volatility spillover model, we find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time‐varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, when the ethanol–gasoline consumption ratio exceeds a critical level, crude oil prices transmit positive volatility spillovers into corn prices and movements… CONTINUE READING

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