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Volatility spillovers between food and energy markets: A semiparametric approach

Teresa Serra

Energy Economics, 2011, vol. 33, issue 6, 1155-1164

Abstract: Previous literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches. This article examines these links by using a semiparametric GARCH model recently proposed by Long et al. (2011), which is essentially a nonparametric correction of the parametric conditional covariance function. The analysis focuses on price links between crude oil, ethanol and sugar prices in Brazil. Results suggest strong volatility links between the prices studied. Parametric approximations of the conditional covariance matrix may lead to misleading results that can be improved upon by using nonparametric techniques.

Keywords: Biofuels; Price volatility interactions; Semiparametric GARCH; Sugar (search for similar items in EconPapers)
JEL-codes: Q11 Q42 C58 (search for similar items in EconPapers)
Date: 2011
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