) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock … in one physical, biological or financial asset on the subsequent volatility or co-volatility of another physical …, biological or financial asset. Investigating volatility spillovers within and across energy and financial markets is a crucial …

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 … futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four …

Asia is presently the most important market for the production and consumption of natural rubber. World prices of …) suggest the presence of volatility spillovers and asymmetric effects of positive and negative return shocks on conditional … volatility. Finally, the DCC model of Engle (2002) suggests that the conditional correlations can vary dramatically over time. In …

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …