Over the past decade, the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them. This article deals with the dynamic return and volatility spillovers...

This paper analyzes the dual long memory properties of four major foreign exchange markets of the world oil exporter Saudi Arabia, using the ARFIMA–FIGARCH model under several global events. It discerns the impacts of both scheduled and unscheduled news announcements and structural changes on...

Over the past decade, the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them. This article deals with the dynamic return and volatility spillovers...