Abstract: This paper verified the price volatility transmissions among Brazilian agricultural commodities, more specifically ethanol, sugar, and soybeans. Daily data between January 25, 2010, and Dece
Vector autoregressive (VAR) models are popularly adopted for modeling high-dimensional time series, and their piecewise extensions allow for structural changes in the data. In VAR modeling, the number
Recent years have witnessed a sharp increase in many commodity prices. This report examines the question of whether commodity price volatility has materially changed with the rapid run up in world pri
Organisation for Economic Co-operation and Development60
Abstract–In this article, we develop a general framework to analyze state space models with time-varying system matrices, where time variation is driven by the score of the conditional likelihood. We
