This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

findings reveal over 20 statistically significant historical events that triggered abrupt and enduring increases in volatility … volatility connectedness include their negativity, unexpected nature, and the introduction of concerns about oil supply shortages. …

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …