The paper examines the leverage effects and the spillover effects in the base metal cash and futures market. The study also attempts to find the trend and the pattern of volatility clustering in the base metal markets of India. Further, the significance of the risk premium and the possible...

We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...

Over the past two decades, the Black Sea region has exhibited significantly growing wheat production and exports. In 2017/18, Russia ultimately became the world’s largest wheat exporter, a position that was held by the USA for decades. Mostly serving destination markets in the Middle East and...