The purpose of this paper is to examine the volatility spillover and lead-lag relationship between the CBOE Volatility Index (VIX) and the major agricultural future markets before and during the COVID-19 outbreak. The VAR-BEKK-GARCH method and wald test were used, as was the wavelet transform....

This study examines the connectedness and time-frequency correlation of price volatility across the Chinese stock market and major commodity markets. This paper applies a DCC-GARCH-based volatility connectedness model and the cross-wavelet transform to examine the transmission of risk patterns...

This paper examines the effects of financial and trade liberalization on growth volatility of real output and consumption in Africa. Our results suggest trade liberalization is associated with greater output and consumption growth volatility while financial liberalization increases the efficacy...