This article describes the primary uses of the VIX index in the financial literature, offering for
the first time a joint view of its successes and failures in key financial areas. VIX is a model …

Due to significant implications for resource and food sectors that directly influence social
well-being, commodity price comovements represent an important issue in agricultural …

Commodity price comovements are an important issue in economics given their significant
implications for food and resource sectors that directly influence social well-being. This study …

This paper studies the contribution of the newly launched future contracts to the bitcoin price
discovery process. Using well-established methodologies in the literature of the evaluation …

This paper investigates the dynamics of the interactions between international stock returns
and perceived volatility measured by the VIX index using quantile-on-quantile spillover …

This paper examines contemporaneous and Granger causality among US corn futures and
seven cash prices from major producing states for January 2006–March 2011. Causal flows …

Using prices from 182 cash markets from seven states and the Chicago Board of Trade
futures, we investigate cointegration and price discovery for corn. Analysis based on cash …

By analyzing the daily realized volatility series calculated from intraday stock price
observations, this study examines the direct causality between one-day-ahead aggregate …

This paper examines contemporaneous causality among daily price series of the Chinese
Stock Index 300 (CSI300), nearby futures, and first distant futures for April 2010~ November …

We utilize the respective information share and common factor component weight
approaches of Hasbrouck (1995) and Gonzalo and Granger (1995) to examine price …