Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang
Author-Email: changchialin@nchu.edu.tw
Author-Workplace-Name: Department of Applied Economics Department of Finance National Chung Hsing University Taichung, Taiwan.
Author-Name: Michael McAleer
Author-Workplace-Name:
 Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute, Erasmus 
	School of Economics Erasmus University Rotterdam and Tinbergen Institute, The Netherlands and Department of Quantitative 
	Economics Complutense University of Madrid, Spain.
Author-Name: Chia-Ping Liu
Author-Workplace-Name: Institute of Statistics National Tsing Hua University, Taiwan.

Title: Volatility spillovers for spot, futures, and ETF prices in energy and agriculture
Abstract: The agricultural and energy industries are closely related, both biologically and financially. The paper discusses the 
	relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for 
	these two industries. The interaction and covolatility spillovers or the delayed effect of a returns shock in one asset on 
	the subsequent volatility or covolatility in another asset, between the energy and agricultural industries is the primary 
	emphasis of the paper. Although there has already been significant research on biofuel and biofuel-related crops, much of 
	the previous research has sought to find a relationship among commodity prices. Only a few published papers have been 
	concerned with volatility spillovers. However, it must be emphasized that there have been numerous technical errors in the 
	theoretical and empirical research, which needs to be corrected. The paper not only considers futures prices as a 
	widely-used hedging instrument, but also takes an interesting new hedging instrument, ETF, into account. ETF is regarded 
	as index futures when investors manage their portfolios, so it is possible to calculate an optimal dynamic hedging ratio. 
	This is a very useful and interesting application for the estimation and testing of volatility spillovers. In the 
	empirical analysis, multivariate conditional volatility diagonal BEKK models are estimated for comparing patterns of 
	covolatility spillovers. The paper provides a new way of analyzing and describing the patterns of covolatility spillovers, 
	which should be useful for the future empirical analysis of estimating and testing covolatility spillover effects.
Classification-JEL: C32, C58, G13, Q14, Q42
Keywords: Energy and agriculture, Covolatility spillovers, Spot prices, Futures prices, Exchange traded funds, Biofuels, Optimal 
	dynamic hedging.
Length: 56 pages 
Creation-Date: 2016-06
Number: 2016-11
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1611.txt
File-URL: https://eprints.ucm.es/id/eprint/38282/1/1611.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1611