This study examines the nature of interdependence, and return and volatility spillovers, for three Indian exchange rates: US dollar (USD), Euro and British Pound. We use the spillover index methodology of Diebold and Yilmaz (2009) to analyse precisely and independently the returns and volatility...

This paper studies the effects of the TNX ten-year treasury note, the crude oil light sweet, the denatured fuel ethanol, the S%P 500 Stock Index and the US dollar/yen exchange rate on the conditional mean and variance return of corn futures. It employs daily data from January 1, 2002 to August...