Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods
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- 作者：Salim Lahmiri slahmiri@esca.ma" class="auth_mail" title="E-mail the corresponding author
- 关键词：Fertilizer ; Volatility ; EGARCH ; Asymmetric responses ; Stable and unstable periods ; International financial crisis
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2017
- 出版时间：15 January 2017
- 年：2017
- 卷：466
- 期：Complete
- 页码：405-414
- 全文大小：676 K
文摘
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Asymmetry, leverage, and persistence of shocks on price volatility of five fertilizers are investigated.
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Results are compared before and after 2007 international financial crisis.
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After international financial crisis, statistical characteristics of each type of fertilizer price have been changed, volatilities have increased, and responses to chocks are more pronounced.