Volatility spillovers for spot, futures, and ETF prices in agriculture and energy
Chia-Lin Chang, Chia-Ping Liu, Michael McAleer
| Year of publication: |
2019
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|---|---|
| Authors: | Chang, Chia-Lin ; Liu, Chia-Ping ; McAleer, Michael |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 81.2019, p. 779-792
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| Subject: | Futures prices | Exchange traded funds | Biofuels | Covolatility spillovers | Energy and agriculture | Optimal dynamic hedging | Spot prices | Volatilität | Volatility | Indexderivat | Index derivative | Biokraftstoff | Biofuel | Spillover-Effekt | Spillover effect | Spotmarkt | Spot market | ARCH-Modell | ARCH model | Energiemarkt | Energy market | Agrarmarkt | Agricultural market | Futures | Hedging | Rohstoffderivat | Commodity derivative | Warenbörse | Commodity exchange |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2019.04.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012172983