hedging their oil price risk. …

This paper examines the relationship between the energy and equity markets by estimating volatility impulse response … time varying conditional correlations and time varying dynamic hedge ratios. From volatility impulse response functions, we … find that low S&P 500 returns cause substantial increases in the volatility of the energy index; however, we find only a …

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over … a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the …-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover and asymmetric effects across and …

risk ratings using univariate and multivariate volatility models for nine East European countries. These ratings are …

What are the sources of commodity price volatility changes? Based on observation of the palm-oil market (1818 … exceeds six months to one year, is responsible for volatility changes and market instability. Because of the superimposition … of expectations horizons, volatility grows along with the development of short-distance trade. We support this hypothesis …