Details
| Originalsprache | Englisch |
|---|---|
| Titel des Sammelwerks | Commodities |
| Seiten | 501-522 |
| Seitenumfang | 22 |
| ISBN (elektronisch) | 9781498712330 |
| Publikationsstatus | Veröffentlicht - 1 Jan. 2015 |
Abstract
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 ndings show that it is inappropriate to treat dierent 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 diversi-er of equity volatility as well as equity returns. Options pricing and hedging applications exemplify the economic impacts of the dierences across commodities and between model specications.
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Commodities. 2015. S. 501-522.
Publikation: Beitrag in Buch/Bericht/Sammelwerk/Konferenzband › Beitrag in Buch/Sammelwerk › Forschung › Peer-Review
}
TY - CHAP
T1 - The dynamics of commodity prices
AU - Brooks, Chris
AU - Prokopczuk, Marcel
PY - 2015/1/1
Y1 - 2015/1/1
N2 - 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 ndings show that it is inappropriate to treat dierent 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 diversi-er of equity volatility as well as equity returns. Options pricing and hedging applications exemplify the economic impacts of the dierences across commodities and between model specications.
AB - 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 ndings show that it is inappropriate to treat dierent 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 diversi-er of equity volatility as well as equity returns. Options pricing and hedging applications exemplify the economic impacts of the dierences across commodities and between model specications.
UR - http://www.scopus.com/inward/record.url?scp=85053344843&partnerID=8YFLogxK
U2 - 10.1201/b19020
DO - 10.1201/b19020
M3 - Contribution to book/anthology
AN - SCOPUS:85053344843
SN - 9781498712323
SP - 501
EP - 522
BT - Commodities
ER -