agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The … market, there were significant negative co-volatility spillover effects, specifically corn on subsequent sugarcane co-volatility … with corn, and sugarcane on subsequent corn co-volatility with sugarcane. In the other 4 cases, there are no significant co-volatility …

relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two … industries. The interaction and covolatility spillovers, or the delayed effect of a returns shock in one asset on the subsequent … volatility or covolatility in another asset, between the energy and agricultural industries is the primary emphasis of the paper …

coefficient autoregressive (VRCAR) process for the shocks of returns, we derive Latent Volatility Granger causality from the … spillovers of shocks, which calculate the delayed effect of a returns shock in one asset on the subsequent volatility or co-volatility …The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded …

years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns … shock in one asset on the subsequent volatility or covolatility in another asset), among alternative energy commodities … conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi …

capturing jump contagion for risk management, option pricing, and scenario analysis. …

intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of … intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy … futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … relationship between VIX and ETF returns. The purpose of the paper is to investigate whether VIX returns affect ETF returns by … using vector autoregressive (VAR) models to determine whether daily VIX returns with different moving average processes …

suggested to analyse market fluctuations in the spot and futures returns and volatility of carbon emissions, crude oil and coal … their connection to fossil fuels, and the possibility of Granger (1980) causality in spot and futures prices, returns and … volatility of carbon emissions, it is not surprising that crude oil and coal have recently become a very important research topic …

) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock … widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural … gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas …