volatility spillovers within commodities? between standard assets and commodities? between commodities and commodity currencies …? The main results indicate first that commodities exhibit weaker than other asset classes volatility spillovers. These …This article investigates volatility spillovers in commodity markets by following the methodology pioneered in Diebold …

interactions between different financial sectors. The results of these researches confirm that commodities, bonds and stock markets …

This article assesses the cross-market linkages between commodities, stocks and bonds in a cointegration framework …

interactions between different financial sectors. The results of these researches confirm that commodities, bonds and stock markets …

returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise …, bonds and currencies from 1983 to 2013. The innovative feature of our model is that these volatility spillovers are modeled …

We examine the relationship between South African Rand and gold price volatility using monthly data for the period 1980 … volatility but the causality runs the other way around for the post-liberalization period. These findings suggest that gold price … volatility plays a key role in explaining both the excessive exchange rate volatility and current disproportionate share of …

We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990 … different implications for the impact of jumps on exchange rate volatility transmission. Specifically, isolated and successive … jumps have opposite predictions for future volatility. Although the realized volatility literature finds that heat wave …