Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets. The present study aims to conceal this gap by investigating the volatility cross effects...

This paper studies the effect of new gold derivatives products, including Gold-D and Gold Online Futures, on the futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric and asymmetric GARCH family models, namely: GARCH (1,1),...

The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on the large literature for equity markets and by allowing for heterogeneity of investors beliefs proxied by open interest. In addition, time-varying effects on the transmission...

This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques...