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16-014/III - Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices

  • Authors
    Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Yu-Ann Wang, National Chung Hsing University, Taichung, Taiwan
  • Publication date
    March 7, 2016
  • Keywords
    Biofuel, spot prices, futures prices, returns, volatility, risk, co-risk, bio-ethanol, corn, sugarcane, diagonal BEKK model, co-volatility spillover effects, hedging, risk management
  • JEL
    C32, C58, G13, G15, Q14, Q42