Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns shock in one asset on the subsequent volatility or...

This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index from the London...

This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and Isabel (1998) and Genest et al. (2006) to p dimensions and introduces a new X2-type test for global independence (Nelsen test). The test is compared to similar nonparametric tests...

We propose a multivariate dynamic intensity peaks-over-threshold model to capture extreme events in a multivariate time series of returns. The random occurrence of extreme events exceeding a threshold is modeled by means of a multivariate dynamic intensity model allowing for feedback effects...

This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the Basel traffic light system. We enhance the exibility of this structure by...