Journal ArticleDOI
Volatility spillover between oil and agricultural commodity markets
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TLDR
In this article, the authors examined volatility transmission between oil and selected agricultural commodity prices (wheat, corn, soybeans, and sugar) and applied the newly developed causality in variance test and impulse response functions to daily data from 01 January 1986 to 21 March 2011.About:
This article is published in Energy Economics.The article was published on 2013-03-01. It has received 376 citations till now. The article focuses on the topics: Volatility swap & Volatility (finance).read more
Citations
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Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets
TL;DR: In this article, the authors examined spillover effects among six commodity futures markets by employing the multivariate DECO-GARCH model and the spillover index and found that the spillovers increased sharply during economic and financial turmoil, diminishing the benefits of international portfolio diversification for investors.
Journal ArticleDOI
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆
TL;DR: In this paper, a rolling window analysis is used to construct out-of-sample one-step-ahead forecasts of dynamic conditional correlations and optimal hedge ratios for emerging market stock prices.
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Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH
Syed Abul Basher,Sadorsky Perry +1 more
TL;DR: In this paper, a rolling window analysis is used to construct out-of-sample onestep-ahead forecasts of dynamic conditional correlations and optimal hedge ratios for emerging market stock prices.
Journal ArticleDOI
Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat
TL;DR: In this article, the authors used VARMA-AGARCH and DCC-AGarch models to model volatilities and conditional correlations between emerging market stock prices, copper prices, oil prices and wheat prices.
Journal ArticleDOI
Biofuel-related price transmission literature: A review
Teresa Serra,David Zilberman +1 more
TL;DR: An extensive review of the rapidly growing biofuel-related time-series literature is carried out in this paper, which concludes that energy prices drive long-run agricultural price levels and that instability in energy markets is transferred to food markets.
References
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Book
Applied Econometric Time Series
TL;DR: In this article, the authors present an alternative solution method for Deterministic Processes by iteratively solving homogeneous difference equation and finding particular solutions for deterministic processes, and conclude that the proposed solution is the best solution.
Journal ArticleDOI
Generalized Impulse Response Analysis in Linear Multivariate Models
H.Hashem Pesaran,Yongcheol Shin +1 more
TL;DR: This paper proposed a generalized impulse response analysis for unrestricted vector autoregressive (VAR) and cointegrated VAR models, which does not require orthogonalization of shocks and is invariant to the ordering of the variables in the VAR.
Journal ArticleDOI
Impulse response analysis in nonlinear multivariate models
TL;DR: In this paper, the authors present a unified approach to impulse response analysis which can be used for both linear and nonlinear multivariate models and demonstrate the use of these measures for a nonlinear bivariate model of US output and the unemployment rate.
BookDOI
A Note on Rising Food Prices
TL;DR: The authors examined the factors behind the rapid increase in internationally traded food prices since 2002 and estimated the contribution of various factors such as the increased production of biofuels from food grains and oilseeds, the weak dollar, and the increase in food production costs due to higher energy prices.
Journal ArticleDOI
Understanding Crude Oil Prices
TL;DR: The authors examines the factors responsible for changes in crude oil prices and concludes that although scarcity rent made a negligible contribution to the price of oil in 1997, it could now begin to play a role.
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