Utilizing cross-correlation-based Planar Maximally Filtered Graph, and conditional Value-at-Risk-based extreme risk spillover network approaches, we analyze the structure and dynamics of price contagion and risk transmission between different commodity groups in the global commodity futures...

This paper empirically investigates the effect of returns in the US on the returns in Colombia during 1988-2007. Monthly data is used. A new method that is robust to non-normality and time-varying volatility is applied. Our empirical findings indicate that the Colombian financial market is...