Grieb, Terrance - In: Journal of Economics and Finance 39 (2015) 1, pp. 100-118
This paper employs a two-step GARCH-M procedure to study price and volatility spillover effects between nine physical commodity futures contracts, as well as transmissions to those commodities from Eurodollars, the S&P500, and the U.S. Dollar Index. Our results show a strong pattern of price...