markets, very little is known about the volatility transmission between these two markets. The present study aims to conceal … this gap by investigating the volatility cross effects between oil and three different non-energy commodity markets. Using … the bivariate VAR-GARCH models, we do not find any evidence of volatility linkage between oil and agricultural product …

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …