weakly autocorrelated and confirmed the presence of long memory as well as short memory in the GARCH volatility, (4) used an …

The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of … the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the …

volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate … that the nonparametric leverage effect is much stronger than the nonparametric volatility feedback effect, although, in …

(ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility … an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on … volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets …

In this paper, we investigate the "static and dynamic" return and volatility spillovers’ transmission across developed …-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers …-directional volatility spillovers within the European region (Eurozone and non-Eurozone currencies) with the British pound sterling (GBP) and …

using continuous wavelets at different time scales or frequencies. Specifically, we examine the coherency and the phase …