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

Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time …

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 …

In this study, we examine the dynamic link between returns and volatility of commodities and currency markets. In …, silver and platinum are net transmitters of returns and volatility spillovers, while palladium, crude oil and USD …/EUR exchange are net receivers of returns (volatility) spillovers. These results suggest that, the information contents of gold …

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 …

This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot … volatilities across returns for each market. The estimates of volatility spillovers and asymmetric effects for negative and …

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 …