Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016
prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural … that the futures prices of bio-ethanol and the two agricultural commodities, corn and sugarcane, have stronger co-volatility …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related …