Chen, Ping-yu Chang, Chia-lin Chen, Chi-chung McAleer, Michael
Year of Publication:
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 5 [Year:] 2012 [Issue:] 1 [Pages:] 78-114
The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global fertilizer prices. The empirical results from ARDL show that most fertilizer prices are significantly affected by the crude oil price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods.
Risk-return tradeoff Volatility Intraday skewness Quantile Regression High-frequency data