This paper examines the changes in price and return dynamics that affected the commodity market around the 2007-2008 boom&bust. Relying on data at intra-day frequency and adapting the recently proposed realized Beta GARCH model of Hansen et. al (J. Appl. Econ.(2014)), it is shown that starting...

This papers investigates the change in risk transmission mechanism between commodities as a result of the financialization of the commodity market. Relying on intra-day price observations for 25 commodities traded in the US market, the time series of realized variances/covariances is...

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...