reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the … futures markets does not seem to be appropriate. Therefore, the aim of this study is to investigate the volatility spillover … futures contracts for corn, cotton, and wheat and estimate GARCH-in-mean VAR models in the tradition of Elder (2003). Our …

The study of significant deterministic seasonal patterns in financial asset returns is of high importance to academia … and investors. This paper analyzes the presence of seasonal daily patterns in the VIX and S&P 500 returns series using a … not in the daily S&P 500 log-returns series. In particular, we find an inverted Monday effect in the VIX level and changes …

supply are the main drivers of food price volatility. Increased biofuel production may cause short-run food price increases …

This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011 … volatility spillovers from corn to ethanol prices but not the converse. We also do not find major cross-volatility effects from … oil to corn markets. The results do not provide evidence of volatility in energy markets stimulating price volatility in …

of the parameters driving the risk-neutral conditional distributions and term structure of volatility, thereby enhancing …This paper shows that the VIX market contains information on the variance of the S&P 500 returns, which is not already … the estimation of the variance risk premium. We gain new insights on the properties of the premium's term structure and …

In this paper, multivariate GARCH models are used to model conditional correlations and to analyze the volatility …