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.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Futures Markets ; ISSN: 1096-9934 ; Volume: 40 ; Year: 2019 ; Issue: 4 ; Pages: 527-555 ; Hoboken, NJ: Wiley
- Classification
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Wirtschaft
- Subject
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commodities
information transmission
spillovers
volatility term structure
- Event
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Geistige Schöpfung
- (who)
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Hollstein, Fabian
Prokopczuk, Marcel
Würsig, Christoph
- Event
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Veröffentlichung
- (who)
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Wiley
- (where)
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Hoboken, NJ
- (when)
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2019
- DOI
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doi:10.1002/fut.22083
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Hollstein, Fabian
- Prokopczuk, Marcel
- Würsig, Christoph
- Wiley
Time of origin
- 2019
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