Chen, YunfeiJiang, Wei2025-03-032025-03-032024Chen, Yunfei, Wei Jiang (2024). "Time and frequency volatility spillovers among commodities: Evidence from pre and during the Russia‑Ukraine war". Portuguese Economic Journal, 23(2):249-2731617-9838 (electronic)1617-982X (print)http://hdl.handle.net/10400.5/98960This paper studies the volatility spillovers among commodities in both magnitude and timescale before and after the Russia-Ukraine war. We adopt the Diebold and Yilmaz (Int J Forecast 28:57–66, 2012) and the Baruník and Křehlík (J Financ Economet 16:271–296, 2018) method based the 15-min trading data. The results show that the war increases total volatility spillover from 35.54% to 49.00%. Although total spillover is the largest within a day, net spillovers of some commodities are stronger in long term. More importantly, the war increases the importance of precious metals, oil & fats, crops, and agricultural products in different time–frequency domains. The volatility spillover of precious metals as safe-haven assets within one week increases the most. The role of the oil & fats sector changes from a net receiver to a risk transmitter. Meanwhile, crops and agricultural products sectors dominate the overall spillover in the long-term during the ongoing war period. Furthermore, the time-varying results suggest that the impact of the war is durable in the long term.engRussia-UkraineWarCommodityVolatilitySpilloversjournal articledoi.org/10.1007/s10258-023-00242-5