Artikel
Volatility term structures in commodity markets
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.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Futures Markets ; ISSN: 1096-9934 ; Volume: 40 ; Year: 2019 ; Issue: 4 ; Pages: 527-555 ; Hoboken, NJ: Wiley
- Klassifikation
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Wirtschaft
- Thema
-
commodities
information transmission
spillovers
volatility term structure
- Ereignis
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Geistige Schöpfung
- (wer)
-
Hollstein, Fabian
Prokopczuk, Marcel
Würsig, Christoph
- Ereignis
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Veröffentlichung
- (wer)
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Wiley
- (wo)
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Hoboken, NJ
- (wann)
-
2019
- DOI
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doi:10.1002/fut.22083
- Handle
- Letzte Aktualisierung
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16.11.2025, 02:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Hollstein, Fabian
- Prokopczuk, Marcel
- Würsig, Christoph
- Wiley
Entstanden
- 2019
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