-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 …

's subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the … futures. The purpose of the paper is to investigate the co-volatility spillovers within and across the US energy and financial … sectors in both spot and futures markets, by using "generated regressors" and a multivariate conditional volatility model …

The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …

Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns … returns from the currency carry trade. We show that the importance of volatility depends on whether the currency markets are … unexpectedly volatile. Volatility innovations during relatively tranquil periods are largely unrewarded in the market, whereas …

allow explaining and replicating most stylized facts of foreign exchange markets, namely (i) the excess volatility of the … exchange rate with respect to its fundamentals, (ii) booms, busts and precarious equilibria, (iii) clusters of volatility, (iv …

The relationship between trading volume and volatility in foreign exchange markets continues to be of much interest …, especially given the higher than expected volatility of returns. Allowing for non-linearities, this paper tests competing … hypotheses on the possible relationship between volatility and trading volume using data for three major currency futures …