Browsing by Author "Caporale, Guglielmo Maria"
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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 ...