persistence increases during periods of high volatility compared with low volatility. The estimation of a bivariate GARCH model … further shows the existence of time-varying volatility spillovers between these returns during the different stages of such a …

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 paper introduces a novel model to analyse the impact of macroeconomic shocks on volatility spillovers within key … market volatility, our study distinguishes between internal financial volatility spillovers and external shocks arising from … source of volatility spillovers, with Crude Oil being the principal spillover recipient. However, the Stock market's role in …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

during crises. Furthermore, they indicate that accurate forecasts of the volatility of several commodities, such as natural …

negative, but, during the Covid-19 pandemic, the carry trade is the main net transmitter of volatility to all markets. Our …

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over … a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the …-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover effects across and within the four …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

We document asymmetric networks of implied volatility spillovers across global stock and commodity markets as well as … the US Treasury market. There are significant asymmetries in the roles of US stock and bond markets as volatility … suppliers to other countries and markets. Shocks from the US generate intensifying volatility spillovers across countries and …