Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables that contain information on current and future economic activity are helpful predictors of...

Linkages between agricultural commodity and energy prices have become more complex with increased ethanol production. The concern is whether the new corn–ethanol links lead to volatility spillover transmission between food and energy prices. We investigate asymmetric volatility spillovers...

Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets. The present study aims to conceal this gap by investigating the volatility cross effects...