Returns in commodities futures markets and financial speculation: a multivariate GARCH approach

Arbeitspapier

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Quaderni di Dipartimento ; No. 170

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Contingent Pricing; Futures Pricing; option pricing ; Agriculture: Aggregate Supply and Demand Analysis; Prices ; Energy and the Macroeconomy
• Subject: Energy ; Commodities ; Futures markets ; Financial speculation ; Multivariate GARCH

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Manera, Matteo ; Nicolini, Marcella ; Vignati, Ilaria
• Event: Veröffentlichung
• (who): Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
• (where): Pavia
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/95328
• Last update: 10.03.2025, 11:44 AM CET