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