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	Provedor de dados 31 (1) Autor Serra, Teresa (1) Palavra-chave Biofuels (1) C58 (1) Demand and Price Analysis (1) Feedstocks (1) Price volatility interactions (1) Q11 (1) Q42 (1) Resource /Energy Economics and Policy (1) Semiparametric GARCH (1) Mais... Tipo do documento Conference Paper or Presentation (1) Ano 2011 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach 31 Serra, Teresa. Previous literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches. We assess this issue by using a semiparametric GARCH model recently proposed by Long et al. (2009), which is essentially a nonparametric correction of the parametric conditional covariance function. We focus on price links between crude oil, ethanol and sugar prices in Brazil. Results suggest strong volatility links between the prices studied. They also suggest that parametric approximations of the conditional covariance matrix may lead to misleading results and can be improved using nonparametric techniques. Tipo: Conference Paper or Presentation Palavras-chave: Biofuels; Feedstocks; Price volatility interactions; Semiparametric GARCH; Demand and Price Analysis; Resource /Energy Economics and Policy; Q11; Q42; C58. Ano: 2011 URL: http://purl.umn.edu/115997 Registros recuperados: 1 Primeira ... 1 ... Última

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