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...

Since its formation, OPEC through its conference decisions has been a major player in the world oil markets. The purpose of this paper is to examine the impacts of OPEC's different news announcements on the conditional expectations and volatility of crude oil markets in the presence of long...

This study provides empirical evidence of the relationship between spot and futures markets in Korea. In particular, the study focuses on the volatility spillover relationship between spot and futures markets by using three high-frequency (10 min, 30 min, and 1 h time-scales) intraday data sets...

We study the herd behavior and the phase transition for the yen–dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior P(R)≃R-β with scaling exponents β=3.11, 2.81, and 2.29 at time intervals...

The herd behavior of returns for the won–dollar exchange rate and the Korean stock price index (KOSPI) is analyzed in Korean financial markets. It is reported that the probability distribution P(R) of returns R for three types of herding parameter satisfies the power-law behavior P(R)≃R−β...

We study the continuous time random walk theory from financial tick data of the yen–dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at the long-time limit. We find that the volatility for...

This article investigates the efficacy of a volatility model for three crude oil markets -- Brent, Dubai, and West Texas Intermediate (WTI) -- with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we...

This paper investigates the influence of structural changes on the asymmetry of volatility spillovers, asset allocation and portfolio diversification between the USD/euro exchange market and each of six major spot petroleum markets including WTI, Europe Brent, kerosene, gasoline and propane....