In this paper we investigate price and volatility risk originating in linkages between energy and agricultural … commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility … conditional correlation GARCH model as well as a multivariate multiplicative volatility model. Our approach provides a flexible …

volatility of carbon emissions, it is not surprising that crude oil and coal have recently become a very important research topic … causality and volatility spillovers in spot and futures prices of carbon emissions, crude oil, and coal. A likelihood ratio test … is developed to test the multivariate conditional volatility Diagonal BEKK model, which has valid regularity conditions …

The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the … prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related …

We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show … that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It … diversify an energy portfolio during distress periods, adding natural gas seems to bring non-marginal diversification benefits. …

We detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and … heating oil. The increase in volatility spillovers after 2001 correlates with the progressive financialization of the … commodities. Further, increasing spillovers from volatility among petroleum commodities substantially change their pattern after …