This study uses a two‐step GARCH‐M procedure to observe mean‐return and volatility transmissions between Latin American markets and to Latin America from external markets during the period 1993–2000. The results indicate that mean‐return transmissions are common both within region and...

This paper employs a two-step GARCH-M procedure to study price and volatility spillover effects between nine physical commodity futures contracts, as well as transmissions to those commodities from Eurodollars, the S&P500, and the U.S. Dollar Index. Our results show a strong pattern of price...