This paper examines the existence of dynamic volatility spillovers within and between the dry-bulk and tanker freight … markets by employing the multivariate DCC-GARCH model and the volatility spillover index developed by Diebold & Yilmaz (2009 … disaggregation of volatility spillovers in total, directional, net and net pair- wise. Results reveal the existence of large time …

This paper investigates whether dynamic volatility spillovers across shipping freight markets can be explained by a … comprehensive set of indicators capturing shipping investors’ sentiment. The results of this study reveal that an increase of the … transmission within the dry-bulk and tanker vessels, respectively. These results have important implications for shipping market …

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

This article introduces the rough path-dependent volatility (RPDV) model, a model structurally adapted to jointly … capture two major empirical features of volatility: its rough behavior and its path-dependence.After presenting it in its … volatility formation mechanisms …

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover … be competitive. Volatility spill-over is confirmed for only three commodities and none of the indices. This implies the …