Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach

By Teresa Serra. 2011

214 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/48dc864694ca76b3817e2494295ec16a9ac17a83

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

Citations in the corpus

Dynamic spillovers among major energy and cereal commodity prices (2014, methodology): “Serra (2011) uses a semi-parametric GARCH model to examine the volatility transmission between the crude oil, ethanol and sugar prices in Brazil and finds strong volatility links.”
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH ☆ (2015, unknown): “Hammoudeh and Yuan, 2008; Hammoudeh et al., 2011; Creti et al., 2013; Choi and Hammoudeh, 2010; Zhang et al., 2009; Du et al., 2011; Serra, 2011; Serra et al., 2011; Nazlioglu et al., 2013; Mensi et al., 2013; Mensi et al., 2014; Beckmann and Czudaj, 2014). review of relevant papers that focus…”
Volatility linkages between energy and agricultural commodity prices (2016, methodology): “Serra (2011) extends the results of Serra et al. (2011) by applying a semiparametric multivariate GARCH model proposed by Long et al. (2011), which is robust to potential misspeci cations of the error density and of the functional form of the conditional covariance matrix.”
Market interdependence and volatility transmission among major crops (2016, methodology): “For example, as noted by Serra (2011, 2013), there can be periods of strong and weak correlations across time between markets as well as asymmetric responses to positive and negative shocks. 21 It is worth then examining the suitability of imposing a linear covariance matrix to further corroborate t”
Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, methodology): “Serra (2011) used a semiparametric GARCH approach to test the volatility transmission between crude oil, ethanol, and sugar prices in Brazil from July 2000 to November 2009. The author provides evidence for strong volatility dependences between the markets in the study. Further, Serra et al. (2011) ”
THE ROLE OF BIOFUELS IN FOOD COMMODITY PRICES VOLATILITY AND LAND USE (2017, background): “Serra (2011) confirmed a close relationship between maize and energy prices, where a rising energy price leads to a higher maize price through the ethanol market.”
The Impact of Biofuels on Commodity Food Prices: Assessment of Findings (2013, methodology): “Serra et al. (2011) uses autoregression analysis to identify the relationship between corn, ethanol, gasoline, and oil prices in the United States, using monthly data from 1990-2008.”
How is Volatility in Commodity Markets Linked to Oil Price Shocks (2016, methodology): “Among studies on the linkage between oil and commodity prices, Wang et al. [2014] analyzed the effect of oil price shocks on agricultural prices employing a structural VAR framework.”
Biofuel-related price transmission literature: A review (2013, background): “…prices is also provided both for Brazilian, world and US biofuel markets (Alom et al., 2011a; Du and McPhail, 2012; Harri and Hudson, 2009; Nazlioglu et al., 2012; Onour and Sergi, 2011; Serra, 2011; Serra and Gil, in press; Serra et al., 2011b; Trujillo-Barrera et al., 2012; Zhang et al., 2009).”
Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective (2012, background): “Current empirical research on biofuels and fuels price dynamics varies widely from value-at-risk estimation (Chang et al., 2011) to various cointegration estimations (Peri and Baldi, 2010) to volatility spillovers (Serra, 2011) and wavelet coherence analysis (Vacha and Barunik, 2012) and others.”