The paper attempts to investigate the volatility spillover between oil and stock markets
returns (namely Karachi, Shanghai and Bombay) by using bivariate BEKK-GARCH model …

In the realm of monetary policy, we explore the transmission mechanism that relates
speculative activity, inventory arbitrage activity, and commodity price volatility. In this …

This paper investigates price jumps in commodity markets. We find that jumps are rare and
extreme events but occur less frequently than in stock markets. Nonetheless, jump …

Focusing on energy commodities, industrial metals, and gold, this paper examines the
degree to which commodity futures returns depend on news sentiment under various market …

This study provides a new perspective of modelling and forecasting realized range-based
volatility (RRV) for crude oil futures. We are the first to improve the Heterogeneous …

This paper introduces a two-factor continuous-time model for commodity pricing under the
assumption that prices revert to a stochastic mean level, which shows smooth, periodic …

This paper studies the relationship between credit default swap (CDS) spreads for the
Energy sector and oil futures dynamics. Using data on light sweet crude oil futures from …

In this paper, we investigate whether the bond markets contain important information that
can improve the accuracy of stock market volatility forecasts in China. We use realized …

This paper examines the co‐jump transmission in 20 commodity futures returns in the United
States using co‐jump network models. Specifically, it reveals co‐jum** behavior in both …

We study the dynamics of the oil sector using a new multivariate stochastic volatility model
with a structure of common factors subjected to jumps in mean and conditional variance …