In this paper we investigate price and volatility risk originating in linkages between energy and agricultural … commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility … conditional correlation GARCH model as well as a multivariate multiplicative volatility model. Our approach provides a flexible …

this gap by investigating the volatility cross effects between oil and three different non-energy commodity markets. Using … markets during the sample period used. We, however, document that oil market sends volatility to both metal and non-energy …Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity …