Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016
sugarcane, corn and ethanol, and sugarcane and ethanol, and vice-versa, for each of the three pairs of commodities. It is clear … that the futures prices of bio-ethanol and the two agricultural commodities, corn and sugarcane, have stronger co …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related …