The influence of price volatility in the crude oil market is expanding to non-energy commodity markets. With the substitution of fossil fuels by bio-fuel and hedge strategies against inflation induced by high oil prices, the link between crude oil market and agriculture markets and metal markets...

The study examines the intraday volatility spillover between the exchange rate, gold, and crude oil using the Dynamic Generalized Conditional Correlation GARCH model (DCC GARCH) and the BEKK GARCH model. We investigate the spillover effects using the Diebold and Yilmaz, 2012 model to gain a...