Volatility spillover effects and cross hedging in corn and crude oil futures

By Feng Wu, Zhengfei Guan, R. Myers. 2011

145 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/24e955799fca4ff0d68d70e6d35a1b204530be6d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Teresa Serra
2. David Zilberman
3. Mindy L. Mallory
4. Andres A. Trujillo‐Barrera
5. Philip Garcia
6. Franziska Schulz
7. Brenda López Cabrera
8. Walid Mensi

In Renewable Energy, Sustainability and the Environment

1. Teresa Serra
2. Mindy L. Mallory
3. David Zilberman
4. Andres A. Trujillo‐Barrera
5. Philip Garcia

Citations in the corpus

• Biofuel-related price transmission literature: A review (2013, background): “Although BEKK models are generally flexible enough to allow volatility causality links to flow in any direction, Alom et al. (2011a), Wu et al. (2011) and Trujillo-Barrera et al. (2012) force unidirectional spillovers fromcrude oil to food and biofuel markets.”
• Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets (2012, methodology): “Using a trivariate model (Ng, 2000; Wu, Guan, and Myers, 2011), we find volatility linkages from crude oil market to corn and ethanol markets during 2006-2011, during which corn-based ethanol production accounted for 25-35% of total corn use.”