. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total … transmitter to the wheat volatility, while being the spillover receiver from the oil and corn volatilities. The findings suggest …

realized correlation and volatility. Using a simple ordinary least squares (OLS) regression framework, correlations are shown … body of extant research that finds correlations increase in down markets but not in up markets. In contrast, volatility is … much greater in down markets than in up markets. This suggests that it is not a lack of diversification that matters for …