The 2006 spike in corn-based ethanol demand has contributed to the increase in basis volatility in corn and soybean … commodities. Despite the overall rise in basis volatility, there remain differences in the degree of volatility that exists across …

We analyze time-varying volatility in crude oil, heating oil, and natural gas futuresmarkets by incorporating changes …. Further, volatility in these markets is found to change in response to several major events such as the Asian financial crisis … impactthan upward changes do. Finally, volatility spillover from heating oil to natural gasfutures markets is found. …

markets in the central Europe (Czech Republic, Hungary, Poland, Slovenia and Slovakia) together with the German and the US …. Contrary, the Estonian and Romania markets are segmented. A DCC model indicates that the short ñ term interdependencies between …, significantly increased volatility is observed during the Russian crisis period for all the markets under enquiry. …

nations, using Vector Autoregressive (VAR)-Dynamic Conditional Correlation (DCC) model. The data comprise a large set of … high in most commodity and financial futures if there is a significant bi-directional return and volatility spillover … impact and a stronger volatility spillover tends to be the market that has greater contribution or leadership in price …

patterns will emerge as a result of the democratization in the Soviet Union and Eastern Europe. US petroleum imports will … coming from Japan, the Soviet Union, and Eastern Europe. Several regions, the Far East, Japan, Latin American, and Africa … Europe will import approximately 50% of its crude oil from the Middle East. …

patterns will emerge as a result of the democratization in the Soviet Union and Eastern Europe. US petroleum imports will … coming from Japan, the Soviet Union, and Eastern Europe. Several regions, the Far East, Japan, Latin American, and Africa … Europe will import approximately 50% of its crude oil from the Middle East. …

volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected … experience significant increase in both trading volume and return volatility. However, deleted stocks experience no significant … change in either trading volume or return volatility. Both daily and monthly return variances increase following index …

implementación de un conjunto de modelos EGARCH. En conclusión, encontramos que dos de los índices de incertidumbre temáticos (uno …