Purpose: This paper aims to investigate empirically the linkages between stock and commodity futures markets. Design/methodology/approach: It involves the application of a flexible copula approach to weekly total returns from the S&P 500 index and from three commodity sub-indices (agriculture,...

Purpose: This paper aims to identify and quantify directional predictability between returns and volume in major cryptocurrencies markets. Design/methodology/approach: The empirical analysis relies on the cross-quantilogram approach that allows one to assess the temporal (lag-lead) association...