studied the returns of prices practiced in these markets, focusing on the transmission of shocks between oil prices and carbon … credit prices. The methodological approach used financial econometrics to study these variables' risk and return … long-term interaction between these variables. The volatility models show a significant association between the …

-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the … is observed. Furthermore we detect unidirectional volatility transmission from the futures to the spot market at highest …

The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on … trades across different periods, which can have different effects on the volatility-volume relation. The results show that … for time-variation when modeling the relationship between volatility, trading volume and open interest for agricultural …

We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future … stochastic volatility process. Exploiting the conjugacy of the Wishart and the Gaussian distribution, we develop a … individual prices and their volatility. It also shows that this model has a good out-of-sample forecast performance …

In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being … volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns …

This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of FTSE … bidirectional causality between spot and futures returns, rejecting the usual result of futures leading spot market. However, spot … market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … propose several hedging schemes based on implied correlation (IC) forecasts. Modeling IC is a challenging task both in terms …

stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It … strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … considered produce similar financial performance. Therefore, the results support stock returns predictability in the long run …

equity indices are positively linked with geopolitical risk (GPR), signifying their hedging capabilities against GPR shocks …Our study extends the existing literature by exploring the impact of three major risk and uncertainty indices on the …. These hedging abilities are more pronounced in the consumer goods, oil & gas, and financial sectors. Furthermore, the …