A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
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- David E. Allen & Chialin Chang & Michael McAleer & Abhay K Singh, 2018. "A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices," Applied Economics, Taylor & Francis Journals, vol. 50(7), pages 804-823, February.
- Allen, D.E. & Chang, C-L. & McAleer, M.J. & Singh, A.K., 2016. "A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices," Econometric Institute Research Papers EI2016-24, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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- Cheng, Natalie Fang Ling & Hasanov, Akram Shavkatovich & Poon, Wai Ching & Bouri, Elie, 2023. "The US-China trade war and the volatility linkages between energy and agricultural commodities," Energy Economics, Elsevier, vol. 120(C).
- Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Optimal quantile hedging under Markov regime switching," Empirical Economics, Springer, vol. 60(5), pages 2177-2201, May.
- Martinho, V.J.P.D., 2020. "Relationships between agricultural energy and farming indicators," Renewable and Sustainable Energy Reviews, Elsevier, vol. 132(C).
- Qingjie Zhou & Panpan Zhu & You Wu & Yinpeng Zhang, 2022. "Research on the Volatility of the Cotton Market under Different Term Structures: Perspective from Investor Attention," Sustainability, MDPI, vol. 14(21), pages 1-20, November.
- Palazzi, Rafael Baptista & Meira, Erick & Klotzle, Marcelo Cabus, 2022. "The sugar-ethanol-oil nexus in Brazil: Exploring the pass-through of international commodity prices to national fuel prices," Journal of Commodity Markets, Elsevier, vol. 28(C).
- Zhuo Chen & Bo Yan & Hanwen Kang & Liyu Liu, 2023. "Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities," Review of Economic Design, Springer;Society for Economic Design, vol. 27(1), pages 139-162, February.
- Janda, Karel & Kravec, Peter, 2022. "VECM Modelling of the Price Dynamics for Fuels, Agricultural Commodities and Biofuels," EconStor Preprints 259404, ZBW - Leibniz Information Centre for Economics.
- Curtis McKnight & Feng Qiu & Marty Luckert & Grant Hauer, 2021. "Prices for a second‐generation biofuel industry in Canada: Market linkages between Canadian wheat and US energy and agricultural commodities," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 69(3), pages 337-351, September.
- József Popp & Judit Oláh & Mária Farkas Fekete & Zoltán Lakner & Domicián Máté, 2018. "The Relationship Between Prices of Various Metals, Oil and Scarcity," Energies, MDPI, vol. 11(9), pages 1-19, September.
- Puneet Vatsa, 2022. "Do crop prices share common trends and common cycles?," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(2), pages 363-382, April.
- Tsuji, Chikashi, 2018. "New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries," Applied Energy, Elsevier, vol. 229(C), pages 1202-1217.
- Tan Ngoc Vu & Duc Hong Vo & Chi Minh Ho & Loan Thi-Hong Van, 2019. "Modeling the Impact of Agricultural Shocks on Oil Price in the US: A New Approach," JRFM, MDPI, vol. 12(3), pages 1-27, September.
- Wei, Yanfeng & Qiu, Feng & An, Henry & Zhang, Xindon & Li, Changhong & Guo, Xiaoying, 2024. "Exogenous oil supply shocks and global agricultural commodity prices: The role of biofuels," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 394-414.
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More about this item
Keywords
Bio-fuels ; time series; cointegration ; Markov-switching ; VECM; Impulse Responses; Volatility;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
- Q35 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Hydrocarbon Resources
- Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
NEP fields
This paper has been announced in the following NEP Reports:- NEP-AGR-2016-05-28 (Agricultural Economics)
- NEP-ENE-2016-05-28 (Energy Economics)
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