Browsing Finance & Economics by Subject "Mean and volatility spillovers"

Now showing items 1-1 of 1

    • Spillovers between food and energy prices and structural breaks 

      Al-Maadid, Alanoud; Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola ( Elsevier B.V. , 2017 , Article)
      This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible ...