In this paper we investigate price and volatility risk originating in linkages between energy and agricultural … commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility … conditional correlation GARCH model as well as a multivariate multiplicative volatility model. Our approach provides a flexible …

This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically …, the study investigates the spillover effects between oil and food price volatility and the volatility of a key …/USD) exchange rate. Volatility spillover is examined using the Generalized Vector Autoregressive (GVAR) approach and Multivariate …