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 …

The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded … coefficient autoregressive (VRCAR) process for the shocks of returns, we derive Latent Volatility Granger causality from the … Diagonal BEKK multivariate conditional volatility model. We follow Chang et al. (2015)’s definition of the co-volatility …

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 …

Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets … of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …

This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key …

-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework … conditional volatility factor are investigated by means of a Monte Carlo study. Finally, we illustrate our approach with two …