commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

Do futures markets have a stabilizing or destabilizing effect on commodity prices? Empirical evidence is inconclusive …

GARCH model featuring pre-whitened return series, which are then analysed using both BEKK and diagonal BEKK models with the …

multivariate GARCH model, which are then analysed using both BEKK and diagonal BEKK (DBEKK) models. A key result is that the impact …

conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi …-Maximum Likelihood Estimates (QMLE) of a full BEKK matrix, which is typically estimated in examining volatility spillover effects, has no … theory and practice in testing for volatility spillovers between energy and agricultural markets using the multivariate BEKK …