Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over … a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the …-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover effects across and within the four …

This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot …, forward and futures returns from three major benchmarks of international crude oil markets, namely Brent, WTI and Dubai, to … volatilities across returns for each market. The estimates of volatility spillovers and asymmetric effects for negative and …

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 …

. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … that the futures prices of bio-ethanol and the two agricultural commodities, corn and sugarcane, have stronger co-volatility … prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …