Akademik Veri Yönetim Sistemi
SCIENTIFIC PAPERS-SERIES MANAGEMENT ECONOMIC ENGINEERING IN AGRICULTURE AND RURAL DEVELOPMENT, cilt.31, sa.1, ss.475-489, 2023 (ESCI)
In the study, the price volatility relationship between wheat, cotton , corn markets was investigated and daily data for the period 02.04.2005-11.03.2020 were used. The VAR-Asymmetric BEKK-GARCH model, which analyzes the markets simultaneously in a single system, was chosen. Persistent long-term uncertainty in the wheat market affects the market positively. Long-term uncertainty in the cotton market creates uncertainty both in its own market and in the corn market. Persistent long-term uncertainty in the corn market creates permanent uncertainties both in its own market and in other markets , these effects are statistically significant. Markets were more affected by long-term shocks.