• We consider spillovers between oil price volatility, OVX , and key uncertainty indicators. use monthly data for the VIX US EPU global geopolitical risk partisan conflict indices. employ Diebold Yilmaz framework to extract net pairwise indicators . All different types of are linked but only from contain significant in-sample predictive information. Spillovers do not generate real out-of-sample...

Palm oil is the most consumed and traded vegetable oils in the EU and the world. Increasing non-food uses for vegetable oils in especially feedstock of biofuels in recent years have caused the price volatility to rise in both EU and global market. The most efficient pricing of crude palm oil (CPO) is to found on Bursa Malaysia (BMD), and it provides by far the world’s most liquid palm oil contr...

This paper presents an econometric analysis of the effects of price support program and stocks on price dynamics and price volatility. Considering a price support program as a censoring scheme, market prices are specified as a dynamic Tobit model under time varying volatility. The model is applied to the U.S. nonfat dry milk market, based on monthly data for the period of 1970-2000. The econome...

the major challenge facing iranian economy is its overwhelming dependence on the oil exports. however, the world oil price has been subject to a lot of shocks, which have destabilized the iranian terms of trade. hence, this paper empirically examines the effect of terms of trade volatility on iran’s economic growth over 1967-2006. for this purpose, based on a garch model, a proxy for the terms ...

The present study has made an attempt to discuss the effects of exchange rate volatility and price expectation on maize imports in Iran from 1980 to 2013. In doing so, using the EGARCH technique for time series econometrics, price volatility variables for both exchange rate and final price have been calculated, and the time series for these variables have been extracted. Additionally, in regard...

The authors found that, concurrent with the rapidly growing index investment in commodity markets since the early 2000s, prices of non-energy commodity futures in the United States have become increasingly correlated with oil prices; this trend has been significantly more pronounced for commodities in two popular commodity indices. This finding reflects the financialization of the commodity mar...

The conflict between Russia and Ukraine at the start of 2022 has largely influenced global market, both commodity market stock market. Russia, as a major exporter oil, been sanctioned by western countries which led to sharp rise in price crude oil. And capital was affected consequently. This paper uses Shanghai Stock Exchange Composite Shenzhen Component Index Chinese Dow Jones Industrial Avera...

In this paper we discuss the calibration issues of regime switching models built on mean-reverting and local volatility processes combined with two Markov regime switching processes. In fact, the volatility structure of this model depends on a first exogenous Markov chain whereas the drift structure depends on a conditional Markov chain with respect to the first one. The structure is also assum...