Details
| Original language | English |
|---|---|
| Title of host publication | Commodities |
| Pages | 501-522 |
| Number of pages | 22 |
| ISBN (electronic) | 9781498712330 |
| Publication status | Published - 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. p. 501-522.
Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › 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 -