Volatility linkages between energy and agricultural commodity prices

Brenda López Cabrera and Franziska Schulz

No 2013-042, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: In this paper we investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact for investment and hedging strategies of market participants as well as for policy makers. Volatilities and their short and long run linkages (spillovers) are analyzed using a dynamic conditional correlation GARCH model as well as a multivariate multiplicative volatility model. Our approach provides a flexible and accurate fitting procedure for volatility and correlation risk.

Keywords: Energy; Agriculture; Biodiesel; Commodities; Interdependencies; Volatility Spillovers (search for similar items in EconPapers)
JEL-codes: G19 G22 G29 Q14 Q49 Q59 (search for similar items in EconPapers)
Date: 2013
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Journal Article: Volatility linkages between energy and agricultural commodity prices (2016)
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