) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock … in one physical, biological or financial asset on the subsequent volatility or co-volatility of another physical …, biological or financial asset. Investigating volatility spillovers within and across energy and financial markets is a crucial …

intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of … the fluctuations in stock and financial derivatives prices and returns have also been investigated extensively in recent … intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy …

) prices that are related to natural gas stock prices. The volatility spillover effect is the delayed effect of a returns shock … in one physical, biological or financial asset on the subsequent volatility or co-volatility of another physical …, biological or financial asset. Investigating volatility spillovers within and across energy and financial markets is a crucial …

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural … that the futures prices of bio-ethanol and the two agricultural commodities, corn and sugarcane, have stronger co-volatility …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …