Details
| Originalsprache | Englisch |
|---|---|
| Seiten (von - bis) | 527-542 |
| Seitenumfang | 16 |
| Fachzeitschrift | Quantitative Finance |
| Jahrgang | 13 |
| Ausgabenummer | 4 |
| Publikationsstatus | Veröffentlicht - 1 Apr. 2013 |
| Extern publiziert | Ja |
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 findings show that it is inappropriate to treat different 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 diversifier of equity volatility as well as equity returns. Options pricing and hedging applications exemplify the economic impacts of the differences across commodities and between model specifications.
ASJC Scopus Sachgebiete
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Finanzwesen
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
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in: Quantitative Finance, Jahrgang 13, Nr. 4, 01.04.2013, S. 527-542.
Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review
}
TY - JOUR
T1 - The dynamics of commodity prices
AU - Brooks, Chris
AU - Prokopczuk, Marcel
PY - 2013/4/1
Y1 - 2013/4/1
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 findings show that it is inappropriate to treat different 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 diversifier of equity volatility as well as equity returns. Options pricing and hedging applications exemplify the economic impacts of the differences across commodities and between model specifications.
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 findings show that it is inappropriate to treat different 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 diversifier of equity volatility as well as equity returns. Options pricing and hedging applications exemplify the economic impacts of the differences across commodities and between model specifications.
KW - Commodity prices
KW - Jumps
KW - Markov chain Monte Carlo
KW - Stochastic volatility
UR - http://www.scopus.com/inward/record.url?scp=84876127926&partnerID=8YFLogxK
U2 - 10.1080/14697688.2013.769689
DO - 10.1080/14697688.2013.769689
M3 - Article
AN - SCOPUS:84876127926
VL - 13
SP - 527
EP - 542
JO - Quantitative Finance
JF - Quantitative Finance
SN - 1469-7688
IS - 4
ER -