Japan. We also test for the presence of causality-in-mean and volatility spillovers. The econometric framework is a four … found to play a role in a minority of cases, with mixed signs. Finally, most cases of volatility spillovers occur from …

The 2006 spike in corn-based ethanol demand has contributed to the increase in basis volatility in corn and soybean … commodities. Despite the overall rise in basis volatility, there remain differences in the degree of volatility that exists across …

volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

, volatility, and cross-market GARCH-in-mean effects. Hypotheses about theimportance of different channels are tested. The results …

This paper discusses the volatility spillover effects in agricultural commodity markets, via studying implied … autoregressive (VAR) model is estimated, and impulse response functions are used to discuss the volatility spillover effects. A …

price, volatility and market relationships in the five regional electricity markets in the Australian National Electricity … that assessment of these prices and volatility within and between regional markets allows for better forecasts by … electricity producers, transmitters and retailers and the efficient distribution of energy on a national level.The first two …

class of multivariate GARCHmodels on price returns for rapeseed, crude oil and related agricultural commodity prices.Volatility … higher volatility level versus agricultural commodity pricesin the past. Furthermore, due to the difficulty in distinguishing …