The unparalleled surge of the crude oil price after 2003 has triggered a heated scientific and public debate about its … reason among academics. We study the price dynamics after 2003 in the global crude oil market using a structural VAR model … needs have played an important role for the run-up in the price of crude oil after 2003. We additionally and that emerging …

This study attempts to examine the price discovery process and volatility spillovers in Gold futures and spot markets … effective price discovery vehicle. Besides the study results show that the spillovers of certain information take place from …

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased … price behavior. Our data sheds light on the economic role of futures markets. The conventional view is that futures markets …

both current and past market returns. Using various time-varying volatility models to accommodate conditional … causality-in-variance is used to analyse if volatility among small traders spills over into spot markets, it is found that …

is that the spot price process of electricity is still puzzling researchers and practitioners. In this paper, we propose … an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different … correlation structures of electricity price spikes. Furthermore, all model parameters can easily be estimated with help of …

the first and the second conditional moments. To reveal long run price discovery we compute the common factor weights …-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the … futures market to be the leader of the long run price discovery process whereas a bidirectional short run causality structure …

price indexes. Forecasts produced by each non-linear GARCH model and each index are evaluated using a common set of …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …