(ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility … an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on … volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets …

volatility of these commodities. The daily returns of Brent, gold and silver from 8 April 1999 to 7 April 2009 are employed to … model the volatility and volatility spillovers across markets. The univariate conditional volatility models suggest that … there is time-varying volatility in all assets. Moreover, asymmetry is observed in the Brent and gold markets. For …

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

. Volatility comovements only react following the global financial crisis. Our results cast doubt on the persistence of the effects …

This paper extends the empirical literature on volatility risk premium (VRP) and future returns by analyzing the …

using volatilities from strategically linked commodities; thus, no volatility spillovers are detected. Interestingly, when …

metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …

Commodity Futures Are More Vulnerable to Rising Crude Oil Prices. From a Dynamic Perspective, We Observe Continued Volatility in …