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