Search Results - subject:"Volatility interactions"

Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach

Serra, Teresa - European Association of Agricultural Economists - EAAE - 2011

Previous literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches. We assess this issue by using a semiparametric GARCH model recently proposed by Long et al. (2009), which is essentially a nonparametric correction of the parametric...

Persistent link: https://www.econbiz.de/10009326326

Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model

Nakatani, Tomoaki; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007

In this paper we propose a Lagrange multiplier test for volatility interactions among markets or assets. The null … exchange returns and individual stock returns. Results indicate that there seem to be volatility interactions in the pairs …

Persistent link: https://www.econbiz.de/10005423784

Volatility spillovers between food and energy markets: A semiparametric approach

Serra, Teresa - In: Energy Economics 33 (2011) 6, pp. 1155-1164

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...

Persistent link: https://www.econbiz.de/10010571714