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 …

application for the estimation and testing of volatility spillovers. In the empirical analysis, multivariate conditional … volatility diagonal BEKK models are estimated for comparing patterns of covolatility spillovers. The paper provides a new way of … relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two …

, biological or financial asset. Investigating volatility spillovers within and across energy and financial markets is a crucial …) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock … in one physical, biological or financial asset on the subsequent volatility or co-volatility of another physical …