This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004–2011 period and the 2009–2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...

This paper examines the long- and short-run asymmetric adjustments and pairs trades for nine pairs of spot and futures prices, itemized as three own pairs for three different bio-fuel ethanol types, three own pairs for three related agricultural products, namely corn, soybeans and sugar, and...

This paper examines the roles of futures prices of crude oil, gasoline, ethanol, corn, soybeans and sugar in the energy–grain nexus. It also investigates the own- and cross-market impacts for the lagged grain trading volume and the open interest in the energy and grain markets. According to...

The paper examines the performance of several multivariate volatility models, namely CCC, VARMA-GARCH, DCC, BEKK and diagonal BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal...

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the international oil market, namely West Texas Intermediate...

Over the past decade, the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them. This article deals with the dynamic return and volatility spillovers...

Using a Bayesian Structural VAR (BSVAR), this paper analyzes the short-term dynamics of the prices of CO2 emissions in response to changes in the prices of oil, coal, natural gas and electricity. The results show that: (i) a positive shock to the crude oil prices has an initial positive effect...

This paper investigates the influence of structural changes on the asymmetry of volatility spillovers, asset allocation and portfolio diversification between the USD/euro exchange market and each of six major spot petroleum markets including WTI, Europe Brent, kerosene, gasoline and propane....

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility and market risk of four widely traded commodities (crude oil, natural gas, gold, and silver). A broad set of the most popular linear and nonlinear GARCH-type models is used to...

Since its formation, OPEC through its conference decisions has been a major player in the world oil markets. The purpose of this paper is to examine the impacts of OPEC's different news announcements on the conditional expectations and volatility of crude oil markets in the presence of long...