Following the dramatic changes experienced by the prices of agricultural commodities in
2007-2008, the analysis of horizontal price transmission mechanisms in agricultural markets …

The seasonal risk of wheat, corn, and soybean is modeled by a novel seasonality filter
based on a generalized ridge regression. Then, using a component GARCH model …

Corn is the third important agricultural product. It is an important input in the poultry
production and the basic elements of edible oil, starch, glucose, and raw material in …

Barley is one of the main crops after wheat and rice. The importance of this product
increases because it is an essential input in the livestock and poultry industries. The prices …

COVID-19 Pandemic has significantly changed our lives. We are now used to people
wearing masks, to washing our hands every hour and even stay at home with a light cough …

This paper presents an in-depth analysis of the convenience yield determinants of corn
futures. The estimated spot price and convenience yield are derived from Gibson and …

In this thesis, we examine if the conditional volatility models GARCH (1, 1) and eGARCH (1,
1) can give an improved Value-at-Risk (VaR) forecast by considering seasonal behaviours …