Spillovers between food and energy prices and structural breaks
Year of publication: |
August 2017
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Authors: | Al-Maadid, Alanoud ; Caporale, Guglielmo Maria ; Spagnolo, Fabio ; Spagnolo, Nicola |
Published in: |
International economics : a journal published by CEPII (Center for research and expertise on the world economy). - [Amsterdam] : Elsevier, ISSN 1240-8093, ZDB-ID 1232628-8. - Vol. 150.2017, p. 1-18
|
Subject: | Energy and food prices | VAR-GARCH BEKK model | Mean and volatility spillovers | Spillover-Effekt | Spillover effect | Lebensmittelpreis | Food price | Strukturbruch | Structural break | Volatilität | Volatility | ARCH-Modell | ARCH model | Ölpreis | Oil price | Energiemarkt | Energy market | Energiepreis | Energy price | Preis | Price |
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