Japan. We also test for the presence of causality-in-mean and volatility spillovers. The econometric framework is a four … found to play a role in a minority of cases, with mixed signs. Finally, most cases of volatility spillovers occur from … instances of interest rate and exchange rate spillovers, both in Europe and the US. …

The 2006 spike in corn-based ethanol demand has contributed to the increase in basis volatility in corn and soybean … commodities. Despite the overall rise in basis volatility, there remain differences in the degree of volatility that exists across …

We analyze time-varying volatility in crude oil, heating oil, and natural gas futuresmarkets by incorporating changes …. Further, volatility in these markets is found to change in response to several major events such as the Asian financial crisis … impactthan upward changes do. Finally, volatility spillover from heating oil to natural gasfutures markets is found. …

markets in the central Europe (Czech Republic, Hungary, Poland, Slovenia and Slovakia) together with the German and the US …. Contrary, the Estonian and Romania markets are segmented. A DCC model indicates that the short ñ term interdependencies between …, significantly increased volatility is observed during the Russian crisis period for all the markets under enquiry. …

Conditional Correlation (DCC) model of Engle [Engle, R.F. (2002), "Dynamic Conditional Correlation: A Simple Class of Multivariate … offer mild support for the DCC model over its constant conditional correlation counterpart. …

Vector Autoregressive (VAR)-Dynamic Conditional Correlation (DCC) model.The data comprise a large set of commodity and … financial futures if there is asignificant bi-directional return and volatility spillover. Additionally, I estimate a market …’scontribution to the price discovery process. In general, the market that has a stronger priceimpact and a stronger volatility …

nations, using Vector Autoregressive (VAR)-Dynamic Conditional Correlation (DCC) model. The data comprise a large set of … high in most commodity and financial futures if there is a significant bi-directional return and volatility spillover … impact and a stronger volatility spillover tends to be the market that has greater contribution or leadership in price …

volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected … experience significant increase in both trading volume and return volatility. However, deleted stocks experience no significant … change in either trading volume or return volatility. Both daily and monthly return variances increase following index …