contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …

has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

cope with oil price volatility. The ongoing dividend equals approximately 30 per cent of government revenue and requires …