Volatility Spillover

Realized correlations, betas and volatility spillover in the commodity market: What has changed?

This papers adopts the recently proposed realized Beta GARCH model of Hansen et al. (J. Appl. Econ. (2014)) to examine the changes in price and return dynamics that affected the commodity market during the 2007-2008 boom and bust. We provide evidence that, starting from
2006, realized correlations between agricultural commodities within the same group significantly increased.
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