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 …

expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … during financial crises and subsequent recovery. Thereafter, we develop properties to explain excess volatility, short …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the …

The paper considers the problem as to whether financial returns have a common volatility process in the framework of … stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH … test proposed by Engle and Susmel (1993), who investigated whether international equity markets have a common volatility …

vary according to whether they are in low or high volatility regimes. …