Details
| Original language | English |
|---|---|
| Pages (from-to) | 168-197 |
| Number of pages | 30 |
| Journal | Journal of Futures Markets |
| Volume | 43 |
| Issue number | 2 |
| Publication status | Published - 7 Jan 2023 |
Abstract
In this study, we investigate the cross-section of option-implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risks implied by option markets are both large. Commodity-specific variables exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail risk. Additionally, we find strong links to the equity markets, but also comovements to macroeconomic factors. Left or right tail risks are largely independent of variance risk premiums. Finally, both left and right tail risks are priced in the cross-section of commodity futures returns.
Keywords
- commodities, dependencies, tail risks
ASJC Scopus subject areas
- Business, Management and Accounting(all)
- Accounting
- Business, Management and Accounting(all)
- General Business,Management and Accounting
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
Cite this
- Standard
- Harvard
- Apa
- Vancouver
- BibTeX
- RIS
In: Journal of Futures Markets, Vol. 43, No. 2, 07.01.2023, p. 168-197.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Commodity Tail Risks
AU - Amman, Manuel
AU - Moerke, Mathis
AU - Prokopczuk, Marcel
AU - Würsig, Christoph Matthias
N1 - Funding Information: We thank the editor (Bart Frijns), an anonymous referee, Dr. Fabian Hollstein, and participants at the Finance Seminar at the Leibniz University of Hannover for their helpful comments and suggestions.
PY - 2023/1/7
Y1 - 2023/1/7
N2 - In this study, we investigate the cross-section of option-implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risks implied by option markets are both large. Commodity-specific variables exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail risk. Additionally, we find strong links to the equity markets, but also comovements to macroeconomic factors. Left or right tail risks are largely independent of variance risk premiums. Finally, both left and right tail risks are priced in the cross-section of commodity futures returns.
AB - In this study, we investigate the cross-section of option-implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risks implied by option markets are both large. Commodity-specific variables exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail risk. Additionally, we find strong links to the equity markets, but also comovements to macroeconomic factors. Left or right tail risks are largely independent of variance risk premiums. Finally, both left and right tail risks are priced in the cross-section of commodity futures returns.
KW - commodities
KW - dependencies
KW - tail risks
UR - http://www.scopus.com/inward/record.url?scp=85139109610&partnerID=8YFLogxK
U2 - 10.1002/fut.22381
DO - 10.1002/fut.22381
M3 - Article
VL - 43
SP - 168
EP - 197
JO - Journal of Futures Markets
JF - Journal of Futures Markets
SN - 0270-7314
IS - 2
ER -