volatility risk and oil price risk. I refer to this effect as the `risk' effect on stock returns. Independent of effects on risk …

To assess the economic determinants of oil futures volatility, we firstly develop and estimate a multi-factor oil … futures pricing model with stochastic volatility that is able to disentangle long-term, medium-term and short-term variations … in commodity markets volatility. The volatility estimates reveal that in line with theory, the volatility factors are …

dynamics of CDS volatility spillover effects surrounding the UK's EU membership referendum commonly known as "Brexit". Using a … the underlined CDS. In particular, we find that UK, Italy and Spain are the "net volatility transmitters", while France … and Germany seem the "net volatility receivers". Our findings may help in formulating appropriate regulatory policies and …

Singapore. On the volatility of returns, the changes in oil prices are significant for six markets and they have not much effect …