In this study, an attempt has been made to identify the relationship between the spot price and the level of futures trading in the Indian commodity market using Granger causality test. For a better explanation of causality, the procedure of forecast error variance decomposition has been used....

In this paper we investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact...