biofuels and other economic and financial factors on daily returns of a group of commodity futures prices using Generalized … complex of drivers are relevant in explaining commodity futures returns; more precisely, the Standard and Poorś (S&P) 500 … positively affects commodity markets, while the US/Euro exchange rate brings about a decline in commodity returns. It turns out …

biofuels and other economic and financial factors on daily returns of a group of commodity futures prices using Generalized … complex of drivers are relevant in explaining commodity futures returns; more precisely, the Standard and Poor's (S&P) 500 … positively affects commodity markets, while the US/Euro exchange rate brings about a decline in commodity returns. It turns out …

-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the … is observed. Furthermore we detect unidirectional volatility transmission from the futures to the spot market at highest …

The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on … trades across different periods, which can have different effects on the volatility-volume relation. The results show that … for time-variation when modeling the relationship between volatility, trading volume and open interest for agricultural …

The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on … trades across different periods, which can have different effects on the volatility-volume relation. The results show that … for time-variation when modeling the relationship between volatility, trading volume and open interest for agricultural …

randomly,” Industrial Management Review 6, 41–49.] proposes the maturity effect that the volatility of futures prices should …

reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the … futures markets does not seem to be appropriate. Therefore, the aim of this study is to investigate the volatility spillover … futures contracts for corn, cotton, and wheat and estimate GARCH-in-mean VAR models in the tradition of Elder (2003). Our …

This paper considers the Samuelson hypothesis, which argues that the futures price volatility increases as the futures …

demand and supply conditions. In three out of the four investigated cases, exchange rate posed as a main source of risk for … the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …

demand and supply conditions. In three out of the four investigated cases, exchange rate posed as a main source of risk for … the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are … ; volatility ; forecasting …