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 …

gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas … derivatives markets. These hedging instruments include natural gas futures and options, as well as Exchange Traded Fund (ETF …) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock …

The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective … hedging product for the spot market, and the demand for this product is high when the market becomes risky: more risk averse …

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 …

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

terms of returns and volatility, received much less attention. With the use of an econometric methodology, the paper aims to …

, both in terms of returns and volatility, is still a barren landscape. Using econometric methodology, the paper investigates …