This paper aims to investigate the sensitivity of the gas market: Russian Natural Gas and Liquefied Gas, to other commodity categories. It sheds light on the Russian-Ukrainian crisis by using an Autoregressive Distributed Lag model on daily prices of Russian Natural Gas, Liquefied Natural Gas,...

This study, set against the backdrop of escalating trade tensions between China and the United States, examines the impact of soybean tariff adjustments on the abnormal asymmetric behavior in the futures market. By employing specialized analytical methods that capture market volatility asymmetry...

This paper investigates tail-risk transmission and asymmetric dependence in commodity markets using an asymmetric fuzzy vine copula framework applied to gold, crude oil, natural gas, and silver from 1 January 2015 to 1 January 2025, extracted from Yahoo Finance. Bootstrap-based trapezoidal fuzzy...

This paper analyzes three forecasting methods for commodity spot prices and applies them to copper prices. The first method uses futures prices from either LME or COMEX. The second method uses analysts' consensus expectations, reported by Bloomberg. The third method jointly uses futures and...

This paper presents the first formal comparison of Value at risk (VaR) forecasting performance across various high-frequency volatility models and conventional benchmarks using daily data in the crude oil futures market. Our analysis reveals the following key findings:(1) High-frequency data...