Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/91575
Authors: 
López Cabrera, Brenda
Schulz, Franziska
Year of Publication: 
2013
Series/Report no.: 
SFB 649 Discussion Paper 2013-042
Abstract: 
In this paper we investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact for investment and hedging strategies of market participants as well as for policy makers. Volatilities and their short and long run linkages (spillovers) are analyzed using a dynamic conditional correlation GARCH model as well as a multivariate multiplicative volatility model. Our approach provides a flexible and accurate fitting procedure for volatility and correlation risk.
Subjects: 
Energy
Agriculture
Biodiesel
Commodities
Interdependencies
Volatility Spillovers
JEL: 
G19
G29
G22
Q14
Q49
Q59
Document Type: 
Working Paper

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