Show simple item record

2012-10-29Masterarbeit DOI: 10.18452/14176
Volatility linkages between German biofuel prices and agricultural commodity prices
dc.contributor.authorSchulz, Franziska
dc.date.accessioned2017-06-18T02:35:02Z
dc.date.available2017-06-18T02:35:02Z
dc.date.created2012-11-12
dc.date.issued2012-10-29
dc.identifier.urihttp://edoc.hu-berlin.de/18452/14828
dc.description.abstractIn this thesis we study linkages between the volatilities of energy prices and agricultural commodity prices in Germany. We investigate whether linkages exist and how they behave over time. To achieve this, weekly prices of biodiesel, crude oil and rapeseed are analyzed over a period from 2002 to 2012. Crude oil and rapeseed prices are first generic future prices traded at ICE futures Europe and LIFFE-Paris respectively. Biodiesel prices are German consumer prices at the pump. We apply a vector error correction model (VECM) in order to filter the data from long run comovement in the level of prices. Volatility and volatility linkages are analyzed using a dynamic conditional correlation (DCC) GARCH model as well as a multiplicative volatility model. We find that in the long run biodiesel prices adjust to crude oil and rapeseed prices. Furthermore, our analysis reveals that the volatility of biodiesel is only weakly linked to the volatility of crude oil and rapeseed. The linkage between the volatility of rapeseed and crude oil is increasing in recent years.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectBiofueleng
dc.subjectVolatility transmissioneng
dc.subjectVECMeng
dc.subjectMGARCHeng
dc.subjectMultiplicative volatility modeleng
dc.subject.ddc330 Wirtschaft
dc.titleVolatility linkages between German biofuel prices and agricultural commodity prices
dc.typemasterThesis
dc.identifier.urnurn:nbn:de:kobv:11-100205572
dc.identifier.doihttp://dx.doi.org/10.18452/14176
dc.identifier.alephidBV040534326
dc.contributor.refereeCabrera, Brenda López
dc.contributor.refereeOkhrin, Ostap
local.edoc.pages59
local.edoc.type-nameMasterarbeit
bua.departmentWirtschaftswissenschaftliche Fakultät

Show simple item record