Volatility Spillover between Water, Energy and Food

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

Volatility Spillover among Industries in the Capital Market in Iran

Measuring the dynamic relationship between banking and industries with systemic importance has attracted much attention after the recent financial crisis. This paper examines the dynamic conditional correlations and volatility spillover using three popular multivariate GARCH models in the twelve-year period (from the beginning of 2005 to the beginning of 2016) among the fourteen systemically im...

The nexus of food, energy, and water.

The Earth's population is expected to exceed 9 billion by 2050, posing significant challenges in meeting human needs while minimally affecting the environment. To support this population, we will need secure and safe sources of food, energy, and water. The nexus of food, energy, and water is one of the most complex, yet critical, issues that face society. There is no more land to exploit, and t...

investigating the effects of volatility spillover between stock, gold, oil and exchange markets

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Volatility Spillover and Co-movement: Some New Evidence from Singapore

An understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Substantial changes in volatility of financial markets are capable of having significant negative effects on risk averse investors. Using daily returns from 1992 to 2002, we investigate volatility co-movement ...