In this thesis we study linkages between the volatilities of energy prices and agricultural commodity prices in Germany. We investigate whether linkages exist and how they behave over time. To achieve this, weekly prices of biodiesel, crude oil and rapeseed are analyzed over a period from 2002 to 2012. Crude oil and rapeseed prices are first generic future prices traded at ICE futures Europe and LIFFE-Paris respectively. Biodiesel prices are German consumer prices at the pump. We apply a vector error correction model (VECM) in order to filter the data from long run comovement in the level of prices. Volatility and volatility linkages are analyzed using a dynamic conditional correlation (DCC) GARCH model as well as a multiplicative v...
This paper investigates the development of volatilities in agricultural commodity prices during and ...
Linkages between agricultural commodity and energy prices have become more complex with increased et...
Food commodity prices have recently increased sharply and become more volatile, highlighting greater...
In this thesis we study linkages between the volatilities of energy prices and agricultural commodi...
In this paper we investigate price and volatility risk originating in linkages between energy and ag...
Being an environmentally friendly fuel obtained from rapeseed oil, biodiesel is used extensively in ...
With this paper, we provide the first quantitative investigation of vertical price transmission in t...
Abstract of associated article: We investigate price and volatility risk originating in linkages bet...
The objective of the paper is to analyse causality between prices of corn, crude oil and ethanol. Th...
The paper aims to analyse the relationship between energy prices (biodiesel, crude oil) and food com...
Many factors have been suggested as sources of increased volatility (unexpected changes) in agricult...
This paper features an analysis of the cointegration relationships among agricultural commodity, eth...
verbatim copies of this document for non-commercial purposes by any means, provided that this copyri...
This paper investigates the daily volatility spillovers between crude oil prices and a select group ...
The food-energy nexus has attracted great attention from policymakers, practitioners and academia s...
This paper investigates the development of volatilities in agricultural commodity prices during and ...
Linkages between agricultural commodity and energy prices have become more complex with increased et...
Food commodity prices have recently increased sharply and become more volatile, highlighting greater...
In this thesis we study linkages between the volatilities of energy prices and agricultural commodi...
In this paper we investigate price and volatility risk originating in linkages between energy and ag...
Being an environmentally friendly fuel obtained from rapeseed oil, biodiesel is used extensively in ...
With this paper, we provide the first quantitative investigation of vertical price transmission in t...
Abstract of associated article: We investigate price and volatility risk originating in linkages bet...
The objective of the paper is to analyse causality between prices of corn, crude oil and ethanol. Th...
The paper aims to analyse the relationship between energy prices (biodiesel, crude oil) and food com...
Many factors have been suggested as sources of increased volatility (unexpected changes) in agricult...
This paper features an analysis of the cointegration relationships among agricultural commodity, eth...
verbatim copies of this document for non-commercial purposes by any means, provided that this copyri...
This paper investigates the daily volatility spillovers between crude oil prices and a select group ...
The food-energy nexus has attracted great attention from policymakers, practitioners and academia s...
This paper investigates the development of volatilities in agricultural commodity prices during and ...
Linkages between agricultural commodity and energy prices have become more complex with increased et...
Food commodity prices have recently increased sharply and become more volatile, highlighting greater...