Haixia, Wu; Shiping, Li - In: Energy Policy 62 (2013) C, pp. 878-886
Price volatility spillovers among China’s crude oil, corn and fuel ethanol markets are analyzed based on weekly price data from September 5, 2003 to August 31, 2012, employing the univariate EGARCH model and the BEKK-MVGARCH model, respectively. The empirical results indicate a higher...