Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
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Note: For financial support, the first author wishes to thank the National Science Council, Taiwan, and the third author wishes to acknowledge the Australian Research Council and the National Science Council, Taiwan.
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- Chia-Lin Chang & Yiying Li & Michael McAleer, 2018. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Energies, MDPI, vol. 11(6), pages 1-19, June.
- Chang, C-L. & Li, Y. & McAleer, M.J., 2015. "Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Econometric Institute Research Papers EI2015-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Yiying Li & Michael McAleer, 2015. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Tinbergen Institute Discussion Papers 15-077/III, Tinbergen Institute.
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More about this item
Keywords
Energy markets; Agricultural markets; Volatility and covolatility spillovers; Univariate and multivariate conditional volatility models; BEKK; DCC; Definitions of spillovers.;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
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
- 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-2015-07-04 (Agricultural Economics)
- NEP-ECM-2015-07-04 (Econometrics)
- NEP-ENE-2015-07-04 (Energy Economics)
Statistics
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