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prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …
Persistent link: https://www.econbiz.de/10011441704
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volatility of carbon emissions, it is not surprising that crude oil and coal have recently become a very important research topic … causality and volatility spillovers in spot and futures prices of carbon emissions, crude oil, and coal. A likelihood ratio test … is developed to test the multivariate conditional volatility Diagonal BEKK model, which has valid regularity conditions …
Persistent link: https://www.econbiz.de/10011658757
Whether fiscal policy is sustainable depends on a government's future revenue and expenditure streams, both of which are highly uncertain. In commodity-rich countries, this problem is intensified by unpredictable and volatile commodity prices. We show how spending rules for oil income and...
Persistent link: https://www.econbiz.de/10011386438
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289
-study suggests a connectionbetween the succes or failure of technical trading and the relative magnitudesof trend and volatility of …
Persistent link: https://www.econbiz.de/10011313922
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time as a shortage in production volume cannot be compensated with supply from inventories. However, if the installed power …
Persistent link: https://www.econbiz.de/10011381018
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