Abstract This paper measures pairwise multiscale extreme risk interdependence between the five major agricultural futures. This topic has economic importance for agricultural market participants because potentially high losses might occur due to the cross‐market extreme risk transmissions. Downside risk is observed via time‐varying Value‐at‐Risk time‐series, while the multiscale analysis is conducted using several wavelet approaches. Results of wavelet coherence show an absence of high interdependence in the short‐term horizons, while at ...
