relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two … volatility or covolatility in another asset, between the energy and agricultural industries is the primary emphasis of the paper … sought to find a relationship among commodity prices. Only a few published papers have been concerned with volatility …

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 …

Measuring the dispersion of productivity or efficiency across firms in a market or industry is rife with methodological …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a … of conditional heteroskedasticity is found in the mean corrected Nord Pool series. For daily prices at three emerging …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the … diagonal BEKK model is used to accommodate multivariate conditional heteroskedasticity in the VAR estimates of ETF returns …

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 …

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 …