Quotation Ziegelbäck, Martin, Kastner, Gregor. 2011. European Rapeseed and Fossil Diesel: Threshold Cointegration Analysis and Possible Implications. 51. Jahrestagung der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e. V. (GEWISOLA 2011), Halle (Saale), Deutschland, 28.09.-30.09.


RIS


BibTeX

Abstract

For European operators of biofuels plants there are not many hedge vehicles available to hedge operational margins. Cross hedges for rapeoil (with the rapeseed futures contract) and RME (with the NYMEX diesel futures contract) could be useful instruments. We use recent developments on threshold cointegration approaches to investigate if asymmetric dynamic adjusting processes exist among rapeseed and diesel prices. The results suggest that a three-regime threshold cointegration model suitably explains the dynamics of the data.

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Poster presented at an academic conference or symposium
Language English
Title European Rapeseed and Fossil Diesel: Threshold Cointegration Analysis and Possible Implications
Event 51. Jahrestagung der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e. V. (GEWISOLA 2011)
Date 28.09.-30.09
Location Halle (Saale)
Country Germany
Year 2011
URL http://www.gewisola2011.de

Associations

People
Kastner, Gregor (Details)
External
Ziegelbäck, Martin (Department of Economics and Social Sciences, BOKU Vienna, Austria)
Organization
Institute for Statistics and Mathematics IN (Details)
Google Scholar: Search