The paper examines volatility transmission from crude oil market to agricul tural commodities like wheat, corn, cotton and soybeans. We find that the volatility transmission from crude oil to agricultural commodities exhibits sudden changes over a study period. We also examine whether the sudden changes in volatility influence the observed sudden changes in volatility trans mission from crude oil to agricultural commodities. Our results indicate the observed sudden change in volatility transmission mechanism is not influ enced by sudden changes in volatility series.
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