High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets

This paper investigates the realised volatility connectedness of US crude oil futures and five China's agricultural commodity futures using connectedness measures and high-frequency data. Time-varying volatility connectedness characteristics are identified by combining a multivariate heteroscedastic autoregressive (HAR) model with the DCC-GARCH model. The results verify the existence of volatility spillover from the US crude oil market to...