price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the … mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models …

crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are … inflating food prices. We analyse approximately 10 years of daily spot and futures prices for corn, wheat, sugar ethanol and oil … prices from Datastream for the period 19 July 2006 to 2 July 2015. The analysis, featuring Engle-Granger pairwise …

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized …. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions … from returns to volatility and co-volatility. …

In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive … effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is … the negative correlation between returns shocks and subsequent shocks to volatility (see Black 1979). McAleer (2014 …