16-014/III - Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices

• Authors
  Chia-Lin Chang, National Chung Hsing University, Taichung, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, the Netherlands; Complutense University of Madrid, Spain; Yu-Ann Wang, National Chung Hsing University, Taichung, Taiwan
• Publication date
  March 7, 2016

• Keywords
  Biofuel, spot prices, futures prices, returns, volatility, risk, co-risk, bio-ethanol, corn, sugarcane, diagonal BEKK model, co-volatility spillover effects, hedging, risk management
• JEL
  C32, C58, G13, G15, Q14, Q42