We propose and document robust evidence of cross-market return, volatility, and volume interactions among futures … consumed by Japan's automobile industry. Our VAR results indicate that (i) for shorter dynamics, NR and GA volatility both … influence AL volatility; GA volume affects NR volatility and volume; the GA market is immune to both NR and AL trading …

risk in spot return’s volatility and spot returns itself, respectively. During the study the VAR(1)-GARCH-ABEKK(1,1)-in …This paper provides insights into agricultural commodity markets in terms of return and volatility spillover effects … of return and volatility linkages between agricultural commodities. Based on the model results optimal dynamic portfolio …