Volatility spillovers between food and energy markets: A semiparametric approach

Energy Economics, 2011, vol. 33, issue 6, 1155-1164

Abstract: Previous literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches. This article examines these links by using a semiparametric GARCH model recently proposed by Long et al. (2011), which is essentially a nonparametric correction of the parametric conditional covariance function. The analysis focuses on price links between crude oil, ethanol and sugar prices in Brazil. Results suggest strong volatility links between the prices studied. Parametric approximations of the conditional covariance matrix may lead to misleading results that can be improved upon by using nonparametric techniques.

Keywords: Biofuels; Price volatility interactions; Semiparametric GARCH; Sugar (search for similar items in EconPapers)
JEL-codes: C58 Q11 Q42 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (124)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988311000867
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:33:y:2011:i:6:p:1155-1164

DOI: 10.1016/j.eneco.2011.04.003

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().