agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The … market, there were significant negative co-volatility spillover effects, specifically corn on subsequent sugarcane co-volatility … with corn, and sugarcane on subsequent corn co-volatility with sugarcane. In the other 4 cases, there are no significant co-volatility …

relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two … industries. The interaction and covolatility spillovers, or the delayed effect of a returns shock in one asset on the subsequent … volatility or covolatility in another asset, between the energy and agricultural industries is the primary emphasis of the paper …

coefficient autoregressive (VRCAR) process for the shocks of returns, we derive Latent Volatility Granger causality from the … spillovers of shocks, which calculate the delayed effect of a returns shock in one asset on the subsequent volatility or co-volatility …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 … spillovers of shocks, which calculate the delayed effect of a returns shock in one asset on the subsequent volatility or co-volatility …The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded …

studied the returns of prices practiced in these markets, focusing on the transmission of shocks between oil prices and carbon … credit prices. The methodological approach used financial econometrics to study these variables' risk and return … long-term interaction between these variables. The volatility models show a significant association between the …

discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized …Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …

established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging … ratios using dynamic multivariate GARCH to best identify hedging opportunities in a newly developed futures market. The … ability for firms to hedge and regulators to supervise the ethanol futures market is crucial to both hedging potential losses …

, crude oil, gold and currency compared to commodities, bonds and real estate. Furthermore, we test the effective hedging … ability of these funds by estimating hedge ratios and optimal portfolio weights. Taking a short position in the volatility of … the funds provides impeccable hedging effectiveness for all asset classes, except currency …

biofuels and other economic and financial factors on daily returns of a group of commodity futures prices using Generalized … complex of drivers are relevant in explaining commodity futures returns; more precisely, the Standard and Poorś (S&P) 500 … positively affects commodity markets, while the US/Euro exchange rate brings about a decline in commodity returns. It turns out …

biofuels and other economic and financial factors on daily returns of a group of commodity futures prices using Generalized … complex of drivers are relevant in explaining commodity futures returns; more precisely, the Standard and Poor's (S&P) 500 … positively affects commodity markets, while the US/Euro exchange rate brings about a decline in commodity returns. It turns out …