16-046/III - Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture

  • Authors
    Chia-Lin Chang, National Chung Hsing University, Taiwan; Chia-Ping Liu, National Tsing Hua University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain
  • Publication date
    June 27, 2016
  • Keywords
    Energy and agriculture, covolatility spillovers, spot prices, futures prices, exchange traded funds, biofuels, optimal dynamic hedging
  • JEL
    C32, C58, G13, Q14, Q42
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