TY - JOUR
T1 - Volatility spillovers between food and energy markets
T2 - A semiparametric approach
AU - Serra, Teresa
N1 - Funding Information:
The author gratefully acknowledges financial support from Instituto Nacional de Investigaciones Agrícolas (INIA) and the European Regional Development Fund (ERDF) , Plan Nacional de Investigación Científica, Desarrollo e Innovación Tecnológica (I+D+i), Project Reference Number RTA2009-00013-00-00 .
PY - 2011/11
Y1 - 2011/11
N2 - Previous literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches. This article examines these links by using a semiparametric GARCH model recently proposed by Long et al. (2011), which is essentially a nonparametric correction of the parametric conditional covariance function. The analysis focuses on price links between crude oil, ethanol and sugar prices in Brazil. Results suggest strong volatility links between the prices studied. Parametric approximations of the conditional covariance matrix may lead to misleading results that can be improved upon by using nonparametric techniques.
AB - Previous literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches. This article examines these links by using a semiparametric GARCH model recently proposed by Long et al. (2011), which is essentially a nonparametric correction of the parametric conditional covariance function. The analysis focuses on price links between crude oil, ethanol and sugar prices in Brazil. Results suggest strong volatility links between the prices studied. Parametric approximations of the conditional covariance matrix may lead to misleading results that can be improved upon by using nonparametric techniques.
KW - Biofuels
KW - Price volatility interactions
KW - Semiparametric GARCH
KW - Sugar
UR - http://www.scopus.com/inward/record.url?scp=80755190137&partnerID=8YFLogxK
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U2 - 10.1016/j.eneco.2011.04.003
DO - 10.1016/j.eneco.2011.04.003
M3 - Article
AN - SCOPUS:80755190137
SN - 0140-9883
VL - 33
SP - 1155
EP - 1164
JO - Energy Economics
JF - Energy Economics
IS - 6
ER -