Accessibility navigation


Volatility term structures in commodity markets

Hollstein, F., Prokopczuk, M. and Würsig, C. (2019) Volatility term structures in commodity markets. Journal of Futures Markets. ISSN 1096-9934

[img]
Preview
Text (Open Access) - Published Version
· Available under License Creative Commons Attribution.
· Please see our End User Agreement before downloading.

2MB

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1002/fut.22083

Abstract/Summary

In this study, we comprehensively examine the volatility term structures in commodity markets. We model state‐dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the equity market. We detect strong economic links and a substantial interconnectedness of the volatility term structures of commodities. Accounting for intra‐commodity‐market spillovers significantly improves out‐of‐sample forecasts of the components of the volatility term structure. Spillovers following macroeconomic news announcements account for a large proportion of this forecast power. There thus seems to be substantial information transmission between different commodity markets.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:88222
Uncontrolled Keywords:Economics and Econometrics, Accounting, General Business, Management and Accounting, Finance
Publisher:Wiley

Downloads

Downloads per month over past year

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

Page navigation