demand and supply conditions. In three out of the four investigated cases, exchange rate posed as a main source of risk for … the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …

demand and supply conditions. In three out of the four investigated cases, exchange rate posed as a main source of risk for … the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are … ; volatility ; forecasting …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … relationship between VIX and ETF returns. The purpose of the paper is to investigate whether VIX returns affect ETF returns by … using vector autoregressive (VAR) models to determine whether daily VIX returns with different moving average processes …

suggested to analyse market fluctuations in the spot and futures returns and volatility of carbon emissions, crude oil and coal … their connection to fossil fuels, and the possibility of Granger (1980) causality in spot and futures prices, returns and … volatility of carbon emissions, it is not surprising that crude oil and coal have recently become a very important research topic …

) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock … widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural … gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas …

(namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers …

We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show … Russia-Ukraine war is associated with the highest systemic risk, followed by the Covid-19 pandemic and global financial … crisis (GFC). In the frequency domain, the results imply that investors perceive the greatest risk at longer investment …

a financial portfolio from an optimal risk management perspective, and also for dynamic hedging purposes. … through their spillover effects, which are measures of how the shocks to returns in different assets affect each other …'s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the …