To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise … returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …, bonds and currencies from 1983 to 2013. The innovative feature of our model is that these volatility spillovers are modeled …

updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …

consists in examining the volatility equicorrelations, by updating the concept of ‘volatility surprise’. We document that the … average volatility equicorrelation across markets is around 15%, while being time-varying with regime shifts before …

Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as … considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for … September 2008. To this aim, we examine asymmetric volatility based on a novel model of market returns, conditional market …

Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as … considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for … September 2008. To this aim, we examine asymmetric volatility based on a novel model of market returns, conditional market …

This article investigates volatility spillovers in commodity markets by following the methodology pioneered in Diebold … volatility spillovers within commodities? between standard assets and commodities? between commodities and commodity currencies …? The main results indicate first that commodities exhibit weaker than other asset classes volatility spillovers. These …

fit the implied volatility dynamic, the Heston (1993) model allows smile patterns to transform into skew patterns while …