TY  - RPRT
AU  - Chang, Chia-Lin
AU  - Li, Yiying
AU  - McAleer, Michael
PY  - 2015
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/27505
AB  - Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns shock in one...
LA  - eng
KW  - Energy markets
KW  - Agricultural markets
KW  - Volatility and covolatility spillovers
KW  - Univariate and multivariate conditional volatility models
KW  - BEKK
KW  - DCC
KW  - Definitions of spillovers.
TI  - Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
TY  - technical report
VL  - 2015
ER  -