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Volatility linkages between energy and agricultural commodity prices

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  • Brenda López Cabrera,
  • Franziska Schulz,

Abstract

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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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
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2013-042
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Keywords: Energy; Agriculture; Biodiesel; Commodities; Interdependencies; Volatility Spillovers;

Other versions of this item:

Find related papers by JEL classification:
  • G19 - Financial Economics - - General Financial Markets - - - Other
  • G29 - Financial Economics - - Financial Institutions and Services - - - Other
  • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
  • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
  • Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other
  • Q59 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Other

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Cited by:

  1. Friedrich Poeschel, 2013. "Assortative matching through signals," SFB 649 Discussion Papers SFB649DP2013-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016. "Modelling volatility spillovers for bio-ethanol, sugarcane and corn," Documentos de Trabajo del ICAE 2016-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.

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