Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis

Energy Economics

Volumn 33, Issue 3, 2011, Pages 497-503

  Du, Xiaodong ^a   Yu, Cindy L ^b   Hayes, Dermot J ^b  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

^b IOWA STATE UNIVERSITY   (United States)

Author keywords

Ethanol; Gibbs sampler; Petroleum inventory; Stochastic volatility

Indexed keywords

AGRICULTURAL COMMODITIES; BAYESIAN ANALYSIS; BAYESIAN MARKOV CHAIN MONTE CARLO; COMMODITY MARKETS; CRUDE OIL PRICES; ETHANOL PRODUCTION; GIBBS SAMPLER; MEAN-REVERSION; MODEL PARAMETERS; PETROLEUM INVENTORY; STOCHASTIC VOLATILITY; STOCHASTIC VOLATILITY MODEL; VOLATILITY CLUSTERING; VOLATILITY SPILLOVERS;

AGRICULTURE; BAYESIAN NETWORKS; COMMERCE; COSTS; ECONOMIC ANALYSIS; ETHANOL; MARKOV PROCESSES; MONTE CARLO METHODS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

CRUDE OIL;

AGRICULTURAL MARKET; BAYESIAN ANALYSIS; CRUDE OIL; ETHANOL; MAIZE; MARKOV CHAIN; MONTE CARLO ANALYSIS; NUMERICAL MODEL; PRICE DYNAMICS; SPILLOVER EFFECT; STOCHASTICITY; WHEAT;

TRITICUM AESTIVUM; ZEA MAYS;

EID: 79953029886     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2010.12.015     Document Type: Article

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