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dc.contributor.authorDutta, Anupam
dc.contributor.authorJunttila, Juha-Pekka
dc.contributor.authorUddin, Gazi S.
dc.date.accessioned2020-01-16T08:17:35Z
dc.date.available2020-02-25T22:35:41Z
dc.date.issued2019fi
dc.identifier.citationDutta, A., Junttila, J.-P., & Uddin, G. S. (2019). Forecasting the volatility of biofuel feedstock prices : the US evidence. <em>Biofuels, Bioproducts and Biorefining</em>, 13 (4), 912-919. <a href="https://doi.org/10.1002/bbb.1981">doi:10.1002/bbb.1981</a>fi
dc.identifier.otherTUTKAID_80791
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/67330
dc.description.abstractGiven that, nowadays, 40% of the US corn crop is used for biofuel production, there is a growing concern that the rise in biofuel production might lead to an increase in food prices. However, it is also obvious that significant growth in biofuel use has minimized the demand for fossil fuel and has hence reduced the volume of carbon emissions. It is therefore crucial to model corn market volatility precisely because such an estimate could play a vital role in stabilizing food and biofuel market prices. For this purpose, we consider using the information content of the corn implied volatility (CIV) index to predict the corn futures market return volatility. Using symmetric and asymmetric GARCH‐class models, we find that the CIV index provides additional information beyond what is contained in the historical volatility of the corn market returns, and the information provided by the CIV index improves volatility forecasts for the US corn market. These findings could be extremely useful for energy market participants.fi
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.publisherJohn Wiley & Sons Ltd.
dc.relation.ispartofseriesBiofuels, Bioproducts and Biorefining
dc.rightsIn Copyright
dc.subject.otherenergiamarkkinatfi
dc.subject.otherbiopolttoaineetfi
dc.subject.otherraaka-aineetfi
dc.subject.otherhintakehitysfi
dc.subject.othervolatiliteettifi
dc.subject.otherennusteetfi
dc.subject.otherbioenergy cropfi
dc.subject.othercorn VIXfi
dc.subject.otherbiofuelfi
dc.subject.otherGARCH modelsfi
dc.subject.othervolatility forecastfi
dc.subject.otherCIV indexfi
dc.titleForecasting the volatility of biofuel feedstock prices : the US evidencefi
dc.typearticle
dc.identifier.urnURN:NBN:fi:jyu-202001081087
dc.contributor.laitosKauppakorkeakoulufi
dc.contributor.laitosSchool of Business and Economicsen
dc.contributor.oppiaineBasic or discovery scholarship
dc.contributor.oppiaineTaloustiede
dc.type.urihttp://purl.org/eprint/type/JournalArticle
dc.date.updated2020-01-08T10:15:18Z
dc.description.reviewstatuspeerReviewed
dc.format.pagerange912-919
dc.relation.issn1932-104X
dc.relation.numberinseries4
dc.relation.volume13
dc.type.versionacceptedVersion
dc.rights.copyright© 2019 Society of Chemical Industry and John Wiley & Sons, Ltd
dc.rights.accesslevelopenAccessfi
dc.format.contentfulltext
dc.rights.urlhttp://rightsstatements.org/page/InC/1.0/?language=en
dc.relation.doi10.1002/bbb.1981


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