Multi-frequency downside risk interconnectedness between soft agricultural commodities
In this article, we explore multiscale extreme risk interdependence between four soft agricultural markets - coffee, cocoa, cotton and orange juice. Wavelet correlation and cross-correlation are used to investigate this interlink, and dynamic conditional Value at Risk is used to measure extreme risk...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Czech Academy of Agricultural Sciences
2023-08-01
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| Series: | Agricultural Economics (AGRICECON) |
| Subjects: | |
| Online Access: | https://agricecon.agriculturejournals.cz/artkey/age-202308-0001_multi-frequency-downside-risk-interconnectedness-between-soft-agricultural-commodities.php |