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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- Martinho, V.J.P.D., 2020. "Relationships between agricultural energy and farming indicators," Renewable and Sustainable Energy Reviews, Elsevier, vol. 132(C).
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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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