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Abstract
Previous literature on volatility links between food and energy prices is scarce and mainly based on
parametric approaches. We assess this issue by using a semiparametric GARCH model recently proposed
by Long et al. (2009), which is essentially a nonparametric correction of the parametric conditional
covariance function. We focus on price links between crude oil, ethanol and sugar prices in Brazil.
Results suggest strong volatility links between the prices studied. They also suggest that parametric
approximations of the conditional covariance matrix may lead to misleading results and can be improved
using nonparametric techniques.