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 …

The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on … trades across different periods, which can have different effects on the volatility-volume relation. The results show that … for time-variation when modeling the relationship between volatility, trading volume and open interest for agricultural …

demand and supply conditions. In three out of the four investigated cases, exchange rate posed as a main source of risk for … the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …

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 …

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

2014 to 31 October 2016, together with the Diagonal BEKK model, the paper analyses the co-volatility spillover effects … is a significant negative co-volatility spillover effect between the rate of change in the numbers of Chinese tourists …

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 …

volatility. We develop a unified empirical framework to analyze the media's effects on both returns and volatility using insights … concentrated in soybeans and maize. We find robust evidence that media coverage decreases volatility for these agricultural … commodities on average for the period we study. The effects on volatility balance each other, with decreasing price coverage …