Abstract
Previous literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches. This article examines these links by using a semiparametric GARCH model recently proposed by Long et al. (2011), which is essentially a nonparametric correction of the parametric conditional covariance function. The analysis focuses on price links between crude oil, ethanol and sugar prices in Brazil. Results suggest strong volatility links between the prices studied. Parametric approximations of the conditional covariance matrix may lead to misleading results that can be improved upon by using nonparametric techniques.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Paper version not known
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
