<section xml:id="fut21671-sec-0001"> The financialization of commodities documented in [Tang and Xiong (2012) Financial Analyst Journal, 68:54–74] has led commodity prices to exhibit not only time‐varying volatility, but also price and volatility jumps. Using the class of stochastic volatility (SV) models, we incorporate such...</section>

This paper investigates the asymmetric characteristics of returns and volatilities of various Chinese commodity futures within the threshold stochastic volatility (THSV) framework with various distribution assumptions. To gauge the capabilities of THSV models in volatility forecasting, the...

In this paper, we investigate jump spillover effects of five energy (petroleum) futures and their implications for diversification benefits. In order to identify the latent historical jumps for each of these energy futures, we use a Bayesian MCMC approach to estimate a jump-diffusion model for...

This paper investigates information transmission and price discovery in informationally linked markets within the multivariate generalized autoregressive conditional heteroskedasticity and information share frameworks. Based on both synchronous and non-synchronous trading information from...

This paper examines the overall risks in Chinese copper, rubber, and soybean futures markets using a copula-VaR (value at risk) and copula-ES (expected shortfall) framework that explicitly accounts for both trading and non-trading information. Our results show that information accumulating...