prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural … commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related …

We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet … crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas … models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method …

in major commodity-producing countries. We do not observe significant changes in risk premiums before elections …

This paper aims to establish trends in intraday volatility in context of the Indian stock market and analyze the impact … of development in the Indian economy on its stock market volatility. One minute tick data of Nifty 50 futures from Jan 1 …, 2011 to Aug 31, 2018 was used for the purpose of this research. Volatility was computed for each day of week and various …

Commodity derivatives were introduced in India with a dual purpose of promoting price discovery and enhancing risk …

The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …

CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in … ; Futures Markets ; Financial Speculation ; Multivariate GARCH …

In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk … decrease the rate at which prices change, yet they impair the risk sharing function and they decrease market liquidity in …

-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the … is observed. Furthermore we detect unidirectional volatility transmission from the futures to the spot market at highest …