We empirically investigate the effect of the official announcements regarding the COVID-19 new cases of infection and fatality ratio, on the financial markets volatility in the United States (US). We consider both COVID-19 global and US figures and show that the sanitary crisis enhances the S&P 500 realized volatility. Our findings are robust to different model specifications and suggest that the prolongation of the coronavirus pandemic is an important source of financial volatility, challenging the risk management activity.

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This paper studies the extreme dependencies among energy, agriculture and metal commodities markets, with an emphasis on local co-movements. By applying a novel, copulabased, local Kendall's tau approach to measure nonlinear local dependence in regions, we identified asymmetric co-movements in and between bull and bear markets, as well as the changing trend in the degree of co-movements. Starting from a non-parametric mixture copula, we found that commodities markets' co-movements increase in extreme situations. In addition, we found a stronger dependence between energy and other commodities markets at lower tails. Therefore, we showed that the energy market can offer diversification solutions for risk management in the case of extreme bull market events.

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