Asymmetric price volatility transmission between food and energy markets: The case of Spain

2015 ◽  
Vol 46 (4) ◽  
pp. 503-513 ◽  
Author(s):  
Fadi Abdelradi ◽  
Teresa Serra
Fractals ◽  
2016 ◽  
Vol 24 (01) ◽  
pp. 1650011 ◽  
Author(s):  
WEI XU ◽  
GUANGXI CAO

This study aimed to investigate the asymmetric structure between the carbon and energy markets from two aspects of different trends (up or down) and volatility-transmission direction using asymmetric detrended cross-correlation analysis (DCCA) cross-correlation coefficient test, multifractal asymmetric DCCA (MF-ADCCA) method, asymmetric volatility-constrained correlation metric and time rate of information-flow approach. We sampled 1283 observations from January 2008 to December 2012 among pairs of carbon and energy markets for analysis. Empirical results show that the (1) asymmetric characteristic from the cross-correlation between carbon and returns in the energy markets is significant, (2) asymmetric cross-correlation between carbon and energy market price returns is persistent and multifractral and (3) volatility of the base assets of energy market returns is more influential to the base asset of the carbon market than that of the energy market.


2020 ◽  
Vol 35 (1) ◽  
pp. 65-81
Author(s):  
Hugo Ferrer-Pérez ◽  
Pilar Gracia-de-Rentería

Agribusiness ◽  
2014 ◽  
Vol 31 (1) ◽  
pp. 3-13 ◽  
Author(s):  
Tsion Taye Assefa ◽  
Miranda P.M. Meuwissen ◽  
Alfons G.J.M. Oude Lansink

2016 ◽  
Vol 53 ◽  
pp. 220-229 ◽  
Author(s):  
Matteo Manera ◽  
Marcella Nicolini ◽  
Ilaria Vignati

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