Accessibility navigation


The dynamics of commodity prices

Brooks, C. and Prokopczuk, M. (2013) The dynamics of commodity prices. Quantitative Finance, 13 (4). pp. 527-542. ISSN 1469-7696

Full text not archived in this repository.

To link to this item DOI: 10.1080/14697688.2013.769689

Abstract/Summary

In this paper we study the stochastic behavior of the prices and volatilities of a sample of six of the most important commodity markets and we compare these properties with those of the equity market. we observe a substantial degree of heterogeneity in the behavior of the series. Our findings show that it is inappropriate to treat different kinds of commodities as a single asset class as is frequently the case in the academic literature and in the industry. We demonstrate that commodities can be a useful diversifier of equity volatility as well as equity returns. Options pricing and hedging applications exemplify the economic impacts of the differences across commodities and between model specifications.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:31492
Uncontrolled Keywords:Commodity prices, Stochastic volatility, Jumps, Markov chain Monte Carlo
Publisher:Taylor & Francis

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation