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 …

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 … intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of …

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

futures. The purpose of the paper is to investigate the co-volatility spillovers within and across the US energy and financial …'s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the … sectors in both spot and futures markets, by using "generated regressors" and a multivariate conditional volatility model …

spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … the conditional covariances will be used for testing co-volatility spillovers, and policy recommendations. Based on these …The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility …