and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price … volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after …

volatility of carbon emissions, it is not surprising that crude oil and coal have recently become a very important research topic … causality and volatility spillovers in spot and futures prices of carbon emissions, crude oil, and coal. A likelihood ratio test … is developed to test the multivariate conditional volatility Diagonal BEKK model, which has valid regularity conditions …

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …