relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two … industries. The interaction and covolatility spillovers, or the delayed effect of a returns shock in one asset on the subsequent … volatility or covolatility in another asset, between the energy and agricultural industries is the primary emphasis of the paper …

coefficient autoregressive (VRCAR) process for the shocks of returns, we derive Latent Volatility Granger causality from the … spillovers of shocks, which calculate the delayed effect of a returns shock in one asset on the subsequent volatility or co-volatility …The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded …

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

2014 to 31 October 2016, together with the Diagonal BEKK model, the paper analyses the co-volatility spillover effects … is a significant negative co-volatility spillover effect between the rate of change in the numbers of Chinese tourists …

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 …

illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and … liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …

capturing jump contagion for risk management, option pricing, and scenario analysis. …

papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk …, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the … papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The …