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16-038/III - A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices


  • Authors
    David E. Allen, University of Sydney, and University of South Australia, Australia; Chialin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Abhay K. Singh, Edith Cowan University, Australia
  • Publication date
    May 17, 2016
  • Keywords
    Bio-fuels , time series, cointegration , Markov-switching , VECM, Impulse Responses, Volatility
  • JEL
    C22, Q02, Q35, Q42