, i.e. exhibits seasonality. We propose a stochastic volatility jump-diffusion model to capture this seasonal variation …

In this study, we comprehensively examine the volatility term structures in commodity markets. We model state …-dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the … equity market. We detect strong economic links and a substantial interconnectedness of the volatility term structures of …