physical trade, results in different pricing dynamics on physical and futures markets, and affects futures price volatility by … focusing on realized volatility relations between Black Sea spot and leading futures markets. Here, prices posted at the … concerning the Chicago Board of Trade (CBoT) market. Further, this analysis provides evidence of asymmetric adjustment to ruble …

Mean reversion, volatility persistence, long memory, time scales, stochastic volatility, GARCH, spurious long memory … stock market crashes. Turning to the second moment of the return distribution, expected volatility, I consider mean …

average and spot measures of the magnitude and direction of volatility spillovers. Our methodology is based on forecast error … variance decompositions of VAR and VARMA systems of parametric and non-parametric volatility measure... …