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 …

the co-movement between the two assets. For this purpose, use is made of industry standard methods, like the naive hedging … correlations, the reduction in portfolio variance produced by different hedging strategies is examined. The data suggests that the … most important factor in reducing portfolio variance is the use of a flexible model for time varying volatility, rather …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed … disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …

methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance … densities) areinvestigated in relation to the hedging strategies. Consequently, we can make adistinctionbetween statistical …

The paper considers the problem as to whether financial returns have a common volatility process in the framework of … stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH … test proposed by Engle and Susmel (1993), who investigated whether international equity markets have a common volatility …

gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas … derivatives markets. These hedging instruments include natural gas futures and options, as well as Exchange Traded Fund (ETF …) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock …