Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016
. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … that the futures prices of bio-ethanol and the two agricultural commodities, corn and sugarcane, have stronger co …-volatility spillovers than their spot price counterparts. These empirical results suggest that the bio-ethanol and agricultural commodities …