Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over … a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the …-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover effects across and within the four …

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 between oil and three different non-energy commodity markets. Using … the bivariate VAR-GARCH models, we do not find any evidence of volatility linkage between oil and agricultural product …

price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …

We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty … increase but hedging costs rise as well. Based on the spillover index we document that during calm periods most of the … volatilities are due to each currency's own history. However, during the distress periods volatility spillovers among currencies …

regarding the one sixvariate model, showing potential volatility transmission channels among the future markets. Findings have …

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …