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Spillovers between food and energy prices and structural breaks

Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - 2015

This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting from four recent events, namely: 1) the 2006 food...

Persistent link: https://www.econbiz.de/10010498617

Spillovers between food and energy prices and structural breaks

Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - 2015

Persistent link: https://www.econbiz.de/10010501248

Does schooling improve cognitive functioning at older ages?

Schneeweis, Nicole; Skirbekk, Vegard; Winter-Ebmer, Rudolf - 2012

We study the relationship between education and cognitive functioning at older ages by exploiting compulsory schooling … of Health, Aging and Retirement in Europe (SHARE), we assess the causal effect of education on old-age memory, fluency …, numeracy, orientation and dementia. We find a positive impact of schooling on memory. One year of education increases the …

Persistent link: https://www.econbiz.de/10009684039

Does schooling improve cognitive functioning at older ages?

Schneeweis, Nicole; Skirbekk, Vegard; Winter-Ebmer, Rudolf - 2012

Persistent link: https://www.econbiz.de/10009673596

Volatility spillovers between energy and agricultural markets : a critical appraisal of theory and practice

Chang, Chia-Lin; Li, Yiying; McAleer, Michael - 2015

Persistent link: https://www.econbiz.de/10011432558

Spillovers between food and energy prices and structural breaks /Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo

Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - 2015

Persistent link: https://www.econbiz.de/10010527213

Volatility spillovers for spot, futures, and ETF prices in energy and agriculture

Chang, Chia-Lin; Liu, Chia-ping; McAleer, Michael - 2016 - Revised: June, 2016

The agricultural and energy industries are closely related, both biologically and financially. The paper discusses the relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two industries. The interaction and covolatility...

Persistent link: https://www.econbiz.de/10011490975

Volatility spillovers for spot, futures, and ETF prices in Energy and Agriculture

Chang, Chia-Lin; Liu, Chia-Ping; McAleer, Michael - 2016 - Revised: June, 2016

Persistent link: https://www.econbiz.de/10011541148

Volatility spillovers between energy and agricultural markets : a critical appraisal of theory and practice

Chang, Chia-Lin; Li, Yiying; McAleer, Michael - 2015

Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns shock in one asset on the subsequent volatility or...

Persistent link: https://www.econbiz.de/10011295732

An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-24

It is well known that there is an intrinsic link between the financial and energy sectors, which can be analysed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets....

Persistent link: https://www.econbiz.de/10011848179

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