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 …

volatility of aid on economic growth, controlling for the level of aid. A four-year panel analysis is conducted encompassing 155 … countries over the period 1966-2001. We find that once the volatility of aid is controlled for, aid has a positive impact on … economic growth. Correspondingly, volatility of aid flows is found to be negatively related to growth. We found no significant …

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …

Monte Carlo study and an empirical study concerning the measurement of conditional volatility from financial returns data. … generally, to observation-driven models, which include well-known models for conditional volatility. To overcome the problem of …