Artikel
Modelling the effects of oil prices on global fertilizer prices and volatility
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, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global fertilizer prices. The empirical results from ARDL show that most fertilizer prices are significantly affected by the crude oil price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 5 ; Year: 2012 ; Issue: 1 ; Pages: 78-114 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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Risk-return tradeoff
Volatility
Intraday skewness
Quantile Regression
High-frequency data
- Event
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Geistige Schöpfung
- (who)
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Chen, Ping-yu
Chang, Chia-lin
Chen, Chi-chung
McAleer, Michael
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2012
- DOI
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doi:10.3390/jrfm5010078
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Chen, Ping-yu
- Chang, Chia-lin
- Chen, Chi-chung
- McAleer, Michael
- MDPI
Time of origin
- 2012
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Asymmetry and leverage in conditional volatility models
Asymmetry and Leverage in Conditional Volatility Models
Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture
Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay
Realized volatility: a review
Establishing National Carbon Emission Prices for China
Daily Market News Sentiment and Stock Prices
Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs
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Asymmetry and leverage in conditional volatility models
Asymmetry and Leverage in Conditional Volatility Models
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Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay
Realized volatility: a review
Establishing National Carbon Emission Prices for China
Daily Market News Sentiment and Stock Prices
Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs
Forecasting the Volatility of Nikkei 225 Futures
A Simple Test for Causality in Volatility