Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach
AbstractPrevious literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches. We assess this issue by using a semiparametric GARCH model recently proposed by Long et al. (2009), which is essentially a nonparametric correction of the parametric conditional covariance function. We focus on price links between crude oil, ethanol and sugar prices in Brazil. Results suggest strong volatility links between the prices studied. They also suggest that parametric approximations of the conditional covariance matrix may lead to misleading results and can be improved using nonparametric techniques.
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Bibliographic InfoPaper provided by European Association of Agricultural Economists in its series 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland with number 115997.
Date of creation: 02 Sep 2011
Date of revision:
biofuels; feedstocks; price volatility interactions; semiparametric GARCH; Demand and Price Analysis; Resource /Energy Economics and Policy; Q11; Q42; C58;
Find related papers by JEL classification:
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
- Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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