We extend the heteroskedasticity IV estimator of Rigobon and Sack (2004) from one to multiple monetary policy shocks by imposing recursive zero restrictions on the impact matrix. Unlike high-frequency identification, the approach requires neither intraday tick data nor precise announcement...

Conventional VAR-based volatility spillover measures rely on homoskedasticity and single-Gaussian assumptions, limiting their ability to capture structural breaks and heterogeneous shocks during crises. This study develops a flexible framework to analyze volatility transmission in U.S. commodity...