Biodiesel has recently drawn attention because of its potential to make an important contribution to national energy security and the environment. However, the rapid growth of biodiesel has raised concerns about biodiesel’s impact on the price level and volatility of agricultural commodities....

Output markets usually respond to input price changes asymmetrically, with prices rising faster than they fall, known as the rockets and feathers pattern. We expand the vector autoregressive quantile (VARQ) model by incorporating quantile cointegrating relationships to investigate such...