We study the European Union’s Emission Trading System (EU ETS) from a financial perspective. Using ARMA-eGARCH filtered volatilities, we first discuss the evolution of the volatility of EU ETS allowances’ returns from 2008 to 2021. Second, we study the degree of co-movement and...

Using a time-varying spillover approach, we investigate volatility spillovers between natural alternative investments, i.e. timber and water, and a battery of traditional instruments comprising equities, bonds, crude oil, gold, real estate, shipping and currency, for the period...

This article has studied several fluctuations in the Iranian currency market and multiple turmoils in the economy that have not only wiped out Iranians private savings but also affected financial market activists to provide a better understanding of fluctuations' movement between markets. To...

The present paper endeavours to analyse the volatility spill over between crude oil price and exchange rate for India using daily data for time period June 2003 to March 2016. To examine the impact of oil price on exchange rate of Indian Rupee against U.S. Dollar, Generalised Autoregressive...

This paper examines the existence of dynamic spillover effects across petroleum based commodities and among spot-futures volatilities, trading volume and open interest. Realized volatilities of spot-futures markets are used as inputs to estimate a VAR model following (Diebold and Yilmaz, 2015,...

Τhis paper investigates the potential volatility spillover and contagion effects of the Eurodollar futures market and the zero coupons of Banca Fideuram. We consider the zero coupons of Banca Fideuram ending from 2018 to 2033. By employing a bivariate DCC-GARCH model, we show significant...

This paper examines the time-varying conditional correlations between Bitcoin future market and five FOREX future markets. A sixvariate dynamic conditional correlation (DCC) GARCH model is applied in order to capture potential contagion effects between the markets for the period 2017-2019....

Crude oil and precious metals, silver and especially gold, prices have been more volatile in the recent years. Investors and speculators such as investment banks, hedge funds, mutual funds, etc. pay close attention to the price and volatility of these commodities. The daily returns of Brent,...

This study examines the existence, magnitude and direction of volatility spillovers between the Sri Lankan stock market and two other major stock markets in the South Asian region: India and Pakistan. Main stock indices of Sri Lanka, India, and Pakistan are employed as proxies to represent stock...

This study investigates the volatility spillovers between Special Purpose Acquisition Companies (SPACs) and a set of alternative instruments comprising traditional IPOs, merger arbitrage, hedge replication funds and equities, utilizing a time-varying spillover approach. Our empirical findings,...