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The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model
The findings indicate that modeling based on rolling window performs better in describing the overall volatility of the wheat, maize, soybean, and rice markets, and the two-factor models generally exhibit stronger explanatory power in most cases.
The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots
The ongoing Russia-Ukraine conflict between two major agricultural powers has posed significant threats and challenges to the global food system and world food security.
Correlation structure analysis of the global agricultural futures market
This paper adopts the random matrix theory (RMT) to analyze the correlation structure of the global agricultural futures market from 2000 to 2020.
Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets
This paper combines the Copula-CoVaR approach with the ARMA-GARCH-skewed Student-t model to investigate the tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets, taking four main agricultural commodities, namely soybean, maize, wheat, and rice as examples.
