Volatility linkages between energy and agricultural commodity prices

Arbeitspapier

In this paper we investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact for investment and hedging strategies of market participants as well as for policy makers. Volatilities and their short and long run linkages (spillovers) are analyzed using a dynamic conditional correlation GARCH model as well as a multivariate multiplicative volatility model. Our approach provides a flexible and accurate fitting procedure for volatility and correlation risk.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2013-042

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: Other ; Financial Institutions and Services: Other ; Insurance; Insurance Companies; Actuarial Studies ; Agricultural Finance ; Energy: Other ; Environmental Economics: Other
• Subject: Energy ; Agriculture ; Biodiesel ; Commodities ; Interdependencies ; Volatility Spillovers

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): López Cabrera, Brenda ; Schulz, Franziska
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (where): Berlin
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/91575
• Last update: 10.03.2025, 11:43 AM CET