Chevallier, Julien; Aboura, Sofiane - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014
updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …