Fat-tailed commodity price innovations are well-documented in the literature and long recognized as disruptive for consumers and producers, yet little is known about what factors drive such extreme events. Utilizing a wide range of factors from the economics and finance literature and quantile...

While there are many evidences of nonlinearity in developed markets, there has not been many works in this direction in Indian financial markets. In this study we wish to bridge this gap by testing for nonlinearity in the Indian stock and commodity market. We consider the index movements in...