15-077/III - Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice

• Authors
  Chia-Lin Chang, National Chung Hsing University, Taiwan; Yiying Li, National Tsing Hua University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam; Complutense University of Madrid, Spain
• Publication date
  July 6, 2015

• Keywords
  Energy markets, agricultural markets, volatility and covolatility spillovers, univariate and multivariate conditional volatility models, BEKK, DCC, definitions of spillovers
• JEL
  C22, C32, C58, G32, O13, Q42