volatility and crude oil volatility. We firstly employ the sup-Wald test to evaluate Granger causality across various quantile … volatility and crude oil volatility differ considerably across different quantiles, with a V-shaped relationship evident at the … quantile level. Results from out-of-sample predictions indicate that the predictive effect of oil volatility on stock …

developed countries (USA, UK, Japan, Germany and Canada). First, we analyze whether shocks and or volatility emanating from two … stock market returns. Second, under the hypothesis of common increased volatility, we investigate whether these states … volatility features. Additionally, apart from UK and Japanese cases, the responses of the stock market to an oil shock depend on …

volatility of these commodities. The daily returns of Brent, gold and silver from 8 April 1999 to 7 April 2009 are employed to … model the volatility and volatility spillovers across markets. The univariate conditional volatility models suggest that … there is time-varying volatility in all assets. Moreover, asymmetry is observed in the Brent and gold markets. For …

Crude oil price volatility has been analyzed extensively for organized spot, forward and futures markets for well over … a decade, and is crucial for forecasting volatility and Value-at-Risk (VaR). There are four major benchmarks in the …-Pacific), which are likely to be highly correlated. This paper analyses the volatility spillover effects across and within the four …

framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …