We examine the connectedness between five key commodity markets and the components of yield curve. Using state of the art techniques, our static analysis indicates that the level component of yield curve is the only net transmitter of return shocks to the system, whiles agriculture and...

In this paper, we propose a new Volatility-Spillover-Asymmetric Conditional-Auto-Regressive-Range (VS-ACARR) approach to model/forecast Bitcoin’s volatility (Price-range). Traditionally, CARR models are uni-variate but we introduce volatility spillover from another series (Crude oil) in the...