during 17 May 2005–27 June 2018. This study is unique in capturing the time-frequency
dynamics of return spillover. We use the frequency-dependent spillover measure that jointly
captures information from time and frequency domain. We also identify two endogenous
break dates that segregate the study period in three sub-periods. Our results indicate that
return spillover from crude oil to ethanol, major feed stocks (ie corn and soybean) and food …