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 … spillovers, and dynamic conditional correlations and covariances, show that the relationships between the stock market and …

. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions …

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 … spillovers, and dynamic conditional correlations and covariances, show that the relationships between the stock market and …

. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related …-volatility spillovers than their spot price counterparts. These empirical results suggest that the bio-ethanol and agricultural commodities …

industries. The interaction and covolatility spillovers, or the delayed effect of a returns shock in one asset on the subsequent … spillovers. However, it must be emphasized that there have been numerous technical errors in the theoretical and empirical … application for the estimation and testing of volatility spillovers. In the empirical analysis, multivariate conditional …

This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the … the FTSE 100 index, from 3 January 2005 to 31 January 2015. Both data sets capture both the Global Financial Crisis (GFC …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …

. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions …

years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns … surprising that there is a topical and developing literature on the spillovers between energy and agricultural markets. Modelling … and testing spillovers between the energy and agricultural markets has typically been based on estimating multivariate …

is used to forecast the 1-day ahead conditional correlations. The paper presents evidence of volatility spillovers and …