updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …

To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise … returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …, bonds and currencies from 1983 to 2013. The innovative feature of our model is that these volatility spillovers are modeled …

To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise … returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …, bonds and currencies from 1983 to 2013. The innovative feature of our model is that these volatility spillovers are modeled …

updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …

updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …

updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …

study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility … and UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature …

The aim of this work is to investigate the impact of the introduction of index futures on the volatility of the … underlying Turkish spot market. For this purpose, symmetric and asymmetric conditional-volatility models have been employed by … changes in the structure of volatility in the ISE30 spot market, following the onset of futures trading. It has also been …

This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU … volatility. …