Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Year of publication: |
2016
|
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Authors: | Chang, Chia-Lin ; McAleer, Michael ; Wang, Yu-Ann |
Publisher: |
Rotterdam : Tinbergen Institute |
Subject: | biofuel | spot prices | futures prices | returns | volatility | risk | co-risk | bio-ethanol | corn | sugarcane | diagonal BEKK model | co-volatility spillover effects | hedging | risk management | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Hedging | Biokraftstoff | Biofuel | Risikomanagement | Risk management | Spotmarkt | Spot market | Kapitalmarktrendite | Capital market returns | Futures | Getreide | Grain | ARCH-Modell | ARCH model | Mais | Maize |
Extent: | 1 Online-Ressource (circa 48 Seiten) Illustrationen |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. TI 2016-014 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Other identifiers: | hdl:10419/130507 [Handle] |
Classification: | C32 - Time-Series Models ; c58 ; G13 - Contingent Pricing; Futures Pricing ; G15 - International Financial Markets ; Q14 - Agricultural Finance ; Q42 - Alternative Energy Sources |
Source: | ECONIS - Online Catalogue of the ZBW |
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