Price and volatility transmission in, and between, skimmed milk powder, livestock feed and oil markets

2017 ◽  
Vol 46 (4) ◽  
pp. 248-257 ◽  
Author(s):  
Dennis Bergmann ◽  
Declan O’Connor ◽  
Andreas Thümmel
Keyword(s):  
Crude Oil ◽  
Milk Powder ◽  
Multivariate Garch ◽  
Volatility Transmission ◽  
Crude Oil Prices ◽  
Multivariate Garch Model ◽  
Oil Markets ◽  
Skimmed Milk ◽  
Derivative Markets ◽  
Skimmed Milk Powder

Price and volatility transmission effects between European Union (EU) and World skimmed milk powder (SMP) prices, as well as those between both SMP series, soybeans and crude oil prices from 2004 to 2014 were analysed using a vector error correction model combined with a multivariate GARCH model. The results show significant transmission effects between EU and World SMP prices, but no significant transmission effects from soybeans or crude oil to either of the SMP prices. For policymakers and modellers, these results indicate the need to consider World SMP prices when considering EU prices. On the other hand, the finding of no transmission effects from soybean to SMP prices reduces the opportunity for a successful cross-hedging for dairy commodities using well-established soybean derivative markets.

Volatility transmission across international markets amid COVID 19 pandemic

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hechem Ajmi ◽  
Nadia Arfaoui ◽  
Karima Saci
Keyword(s):  
Crude Oil ◽  
International Markets ◽  
The Novel ◽  
Data Set ◽  
Health Crisis ◽  
Content Type ◽  
Volatility Transmission ◽  
Oil Markets ◽  
Novel Coronavirus ◽  
Death Cases

Purpose This paper aims to investigate the volatility transmission across stocks, gold and crude oil markets before and during the novel coronavirus (COVID-19) crisis. Design/methodology/approach A multivariate vector autoregression (VAR)-Baba, Engle, Kraft and Kroner generalized autoregressive conditional heteroskedasticity model (BEKK-GARCH) is used to assess volatility transmission across the examined markets. The sample is divided as follows. The first period ranging from 02/01/2019 to 10/03/2020 defines the pre-COVID-19 crisis. The second period is from 11/03/2020 to 05/10/2020, representing the COVID-19 crisis period. Then, a robustness test is used using exponential GARCH models after including an exogenous variable capturing the growth of COVID-19 confirmed death cases worldwide with the aim to test the accuracy of the VAR-BEKK-GARCH estimated results. Findings Results indicate that the interconnectedness among the examined market has been intensified during the COVID-19 crisis, proving the lack of hedging opportunities. It is also found that stocks and Gold markets lead the crude oil market especially during the COVID-19 crisis, which explains the freefall of the crude oil price during the health crisis. Similarly, results show that Gold is most likely to act as a diversifier rather than a hedging tool during the current health crisis. Originality/value Although the recent studies in the field focused on analyzing the relationships between different markets during the first quarter of 2020, this study considers a larger data set with the aim to assess the volatility transmission across the examined international markets Amid the COVID-19 crisis, while it shows the most significant impact on various financial markets compared to other diseases.

scholarly journals Feasibility of using jack fruit seeds powder as a substitute of skimmed milk powder for making traditional yogurt

2020 ◽  
pp. 1
Author(s):  
Shabbir Ahmed ◽  
Most Khairunnesa ◽  
Mst Habiba ◽  
Md Islam ◽  
S Hoque ◽  
...  
Keyword(s):  
Milk Powder ◽  
Skimmed Milk ◽  
Skimmed Milk Powder

Do Fine Wines Blend with Crude Oil? Seizing the Transmission of Mean and Volatility Between Two Commodity Prices

2013 ◽  
Vol 8 (1) ◽  
pp. 49-68 ◽  
Author(s):  
Elie I. Bouri
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Commodity Prices ◽  
Oil Prices ◽  
Multivariate Model ◽  
Volatility Transmission ◽  
Volatility Persistence ◽  
Crude Oil Prices ◽  
Risk Managers ◽  
Jel Classifications

AbstractThis study applies a multivariate model to examine the dynamics of mean and volatility transmission between fine wine and crude oil prices using daily observations from January 2004 to December 2011. The results suggest that the crude oil mean determines the wine market. In each series, volatility persistence is high and significant; innovations in each market seem to include figures that are valuable to risk managers seeking to predict volatility in other markets. During the financial crisis of 2008, wine and oil conditional volatilities climbed but then returned to their overall pre-crisis levels. (JEL Classifications: G11, G15, Q14, Q40)

Effect of Storage on Physio-Chemical Properties of Peanut Yogurt

2020 ◽  
Vol 3 (1) ◽  
Author(s):  
Naukhaiz Abbas ◽  
Zainab Sharmeen ◽  
Shahid Bashir ◽  
Misbah Arshad ◽  
Zargham Mazhar
Keyword(s):  
Chemical Analysis ◽  
Milk Powder ◽  
Chemical Properties ◽  
Chemical Parameters ◽  
Total Solids ◽  
Storage Treatment ◽  
Skimmed Milk ◽  
Skimmed Milk Powder

Peanuts may be consumed in a variety of processed forms like roasted, raw and processed etc. andrepresent as a multimillion dollar crop worldwide with many potential dietary benefits as it contains highprotein and health effective oils. Objective: The present investigation was planned to evaluate thephysio-chemical properties of peanut milk yogurt by the addition of different concentration of peanut milk(0 %, 10 %, 20 % and 30 %), skimmed milk liquid (60 %, 70 %, 80 %, and 90 %), skimmed milk powder (9 %)and sugar (1 %). Methods: The physio-chemical tests (pH, acidity, moisture, ash, fat, protein, syneresis,and viscosity) were examined after every 5 days of interval for a period of 15 days at 4 ºC. Results: Theresults of physio-chemical analysis revealed that pH, ash, fat, protein and viscosity decrease duringstorage period where as acidity, moisture and rate of syneresis increased during storage. Treatment T1(10 % peanut milk) was comparatively best for manufacturing of peanut milk yogurt followed by T2 (20 %peanut milk + 70 % skimmed milk liquid + 9 % skimmed milk powder + 1 % sugar) while peanut milk yogurtfrom (30 % peanut milk + 60 % skimmed milk liquid + 9 % skimmed milk powder + 1 % sugar) had the lowestdegree of firmness. Conclusions: It was noticed that correlation among fat, total solids and proteincontents in peanut milk affect the extent of serum separation and pH of yogurt. The storage hadsignificant effects on all physio-chemical parameters. Treatments had significant effect on all physiochemicalparameters.

scholarly journals Application of the Box–Behnken design for the production of soluble curcumin: Skimmed milk powder inclusion complex for improving the treatment of colorectal cancer

2020 ◽  
Vol 8 (12) ◽  
pp. 6643-6659
Author(s):  
Muthu Mohamed Jamal Moideen ◽  
Ali Alqahtani ◽  
Krishnaraju Venkatesan ◽  
Fazil Ahmad ◽  
Kalpana Krisharaju ◽  
...  
Keyword(s):  
Colorectal Cancer ◽  
Inclusion Complex ◽  
Milk Powder ◽  
Box Behnken Design ◽  
Skimmed Milk ◽  
Skimmed Milk Powder

Hedging the risk of travel and leisure stocks: The role of crude oil

2020 ◽  
pp. 135481662092262
Author(s):  
Naji Jalkh ◽  
Elie Bouri ◽  
Xuan Vinh Vo ◽  
Anupam Dutta
Keyword(s):  
Crude Oil ◽  
Implied Volatility ◽  
Stock Index ◽  
Model Specification ◽  
The United Kingdom ◽  
Crude Oil Prices ◽  
Oil Markets ◽  
Hedge Ratios ◽  
Correlation Process

Unlike previous studies, we examine which of the implied volatilities of US stock and crude oil markets are more suitable and effective hedge for the downside risk of US travel and leisure (T&L) stocks. Using the corrected dynamic conditional correlation process, the results show that the T&L stock index is more negatively and more consistently correlated with the implied volatility of crude oil prices, suggesting that the oil implied volatility is a more suitable hedging asset. Similar results are reported for France, the United Kingdom, and developed markets. They are robust to the frequency of the data and model specification. Furthermore, the hedge ratios vary over time, which requires a regular update of hedged positions. Importantly, the highest hedge effectiveness is associated with the oil implied volatility.

scholarly journals Microencapsulation of anthocyanin-rich black soybean coat extract by spray drying using maltodextrin, gum Arabic and skimmed milk powder

2017 ◽  
Vol 34 (5) ◽  
pp. 475-487 ◽  
Author(s):  
Ana Kalušević ◽  
Steva Lević ◽  
Bojan Čalija ◽  
Milena Pantić ◽  
Miona Belović ◽  
...  
Keyword(s):  
Spray Drying ◽  
Milk Powder ◽  
Gum Arabic ◽  
Black Soybean ◽  
Skimmed Milk ◽  
Skimmed Milk Powder

scholarly journals Modeling the Relationship between Crude Oil and Agricultural Commodity Prices

Energies ◽  
2019 ◽  
Vol 12 (7) ◽  
pp. 1344 ◽  
Author(s):  
Duc Hong Vo ◽  
Tan Ngoc Vu ◽  
Anh The Vo ◽  
Michael McAleer
Keyword(s):  
Crude Oil ◽  
Global Financial Crisis ◽  
Aggregate Demand ◽  
Commodity Prices ◽  
Impulse Response Functions ◽  
Agricultural Commodities ◽  
Agricultural Commodity ◽  
Vector Autoregressive ◽  
Crude Oil Prices ◽  
Oil Markets

The food-energy nexus has attracted great attention from policymakers, practitioners, and academia since the food price crisis during the 2007–2008 Global Financial Crisis (GFC), and new policies that aim to increase ethanol production. This paper incorporates aggregate demand and alternative oil shocks to investigate the causal relationship between agricultural products and oil markets. For the period January 2000–July 2018, monthly spot prices of 15 commodities are examined, including Brent crude oil, biofuel-related agricultural commodities, and other agricultural commodities. The sample is divided into three sub-periods, namely: (i) January 2000–July 2006, (ii) August 2006–April 2013, and (iii) May 2013–July 2018. The structural vector autoregressive (SVAR) model, impulse response functions, and variance decomposition technique are used to examine how the shocks to agricultural markets contribute to the variance of crude oil prices. The empirical findings from the paper indicate that not every oil shock contributes the same to agricultural price fluctuations, and similarly for the effects of aggregate demand shocks on the agricultural market. These results show that the crude oil market plays a major role in explaining fluctuations in the prices and associated volatility of agricultural commodities.

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