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 …

The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil … be quite low using the CCC model, while the VARMA-GARCH and VARMA-AGARCH models suggest no significant volatility …

The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources … intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of … intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy …

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over … a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the …-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover effects across and within the four …

This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot … volatilities across returns for each market. The estimates of volatility spillovers and asymmetric effects for negative and …