Our paper looks at how price volatility in the Brazilian ethanol industry changes over time and across markets by using … methods is that it allows to jointly estimate the cointegration relationship between the price series investigated and the … multivariate GARCH process. Our results suggest that crude oil prices not only influence ethanol price levels, but also their …

, have not explicitly considered time varying volatility in the data. Seo (2007) suggests an estimator of the cointegration …Our paper looks at how price volatility in the Brazilian ethanol industry changes over time and across markets. Demand …-move in the long-run. Hence, when assessing price volatility changes and spillovers in the ethanol industry, one should also …

development of large-scale ethanol production. We use a dynamic conditional correlation multivariate GARCH model to demonstrate a …

price behavior of CZCE with that of the Chicago Board of trade (CBOT) in the US using ARCH/GARCH based univariate and …). Results show both markets can be modeled by an ARCH (1) or a GARCH (1,1), and the models have better fit when conditional …

fruits and vegetables using a GARCH framework and control for the state of the economy, exchange rate effects, international … days with many Israeli casualties raise both the mean and the volatility of several prices, the opposite effect is observed …

price behavior of CZCE with that of the Chicago Board of trade (CBOT) in the US using ARCH/GARCH based univariate and …). Results show both markets can be modeled by an ARCH (1) or a GARCH (1,1), and the models have better fit when conditional …

by its price. Therefore, a fluctuation in either yield or price affects gross income of farmers. A GARCH based measure …