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.

Sprache
Englisch

Erschienen in
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 5 ; Year: 2012 ; Issue: 1 ; Pages: 78-114 ; Basel: MDPI

Klassifikation
Wirtschaft
Thema
Risk-return tradeoff
Volatility
Intraday skewness
Quantile Regression
High-frequency data

Ereignis
Geistige Schöpfung
(wer)
Chen, Ping-yu
Chang, Chia-lin
Chen, Chi-chung
McAleer, Michael
Ereignis
Veröffentlichung
(wer)
MDPI
(wo)
Basel
(wann)
2012

DOI
doi:10.3390/jrfm5010078
Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Chen, Ping-yu
  • Chang, Chia-lin
  • Chen, Chi-chung
  • McAleer, Michael
  • MDPI

Entstanden

  • 2012

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