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Volatility linkages between energy and agricultural commodity prices

Listed author(s):
  • Brenda López Cabrera,
  • Franziska Schulz,

In this paper we investigate price and volatility risk originating in link- ages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact for in- vestment and hedging strategies of market participants as well as for policy makers. Volatilities and their short and long run linkages (spillovers) are an- alyzed using a dynamic conditional correlation GARCH model as well as a multivariate multiplicative volatility model. Our approach provides a exible and accurate fitting procedure for volatility and correlation risk.

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File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2013-042.pdf
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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2013-042.

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Length: 23 pages
Date of creation: Sep 2013
Handle: RePEc:hum:wpaper:sfb649dp2013-042
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Web page: http://sfb649.wiwi.hu-berlin.de
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