. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total … transmitter to the wheat volatility, while being the spillover receiver from the oil and corn volatilities. The findings suggest …

volatility. We develop a unified empirical framework to analyze the media's effects on both returns and volatility using insights … concentrated in soybeans and maize. We find robust evidence that media coverage decreases volatility for these agricultural … commodities on average for the period we study. The effects on volatility balance each other, with decreasing price coverage …

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of … temporary volatility induced by the trading of non-commercial market participants (speculators). We find little evidence that …

This article investigates the relationship between expected returns and past idiosyncratic volatility in commodity … futures markets. Measuring the idiosyncratic volatility of 27 commodity futures contracts with traditional pricing models that … fail to account for backwardation and contango leads to the puzzling finding that idiosyncratic volatility is significantly …

aversion, and the volatility of futures prices. In the end we observe a stabilizing effect on spot prices for weakly coupled …