Details
| Original language | English |
|---|---|
| Pages (from-to) | 527-555 |
| Number of pages | 29 |
| Journal | Journal of Futures Markets |
| Volume | 40 |
| Issue number | 4 |
| Publication status | Published - 3 Mar 2020 |
Abstract
Keywords
- commodities, information transmission, spillovers, volatility term structure
ASJC Scopus subject areas
- Business, Management and Accounting(all)
- Accounting
- Business, Management and Accounting(all)
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Journal of Futures Markets, Vol. 40, No. 4, 03.03.2020, p. 527-555.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Volatility term structures in commodity markets
AU - Hollstein, Fabian
AU - Prokopczuk, Marcel
AU - Würsig, Christoph
N1 - Funding Information: We thank Bob Webb (the editor) as well as an anonymous referee and participants at the Commodity Markets Winter Workshop in Hannover for their constructive comments. We thank as well Bj?rn Tharann and Binh Nguyen for helpful suggestions.
PY - 2020/3/3
Y1 - 2020/3/3
N2 - 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.
AB - 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.
KW - commodities
KW - information transmission
KW - spillovers
KW - volatility term structure
UR - http://www.scopus.com/inward/record.url?scp=85076739527&partnerID=8YFLogxK
U2 - 10.1002/fut.22083
DO - 10.1002/fut.22083
M3 - Article
VL - 40
SP - 527
EP - 555
JO - Journal of Futures Markets
JF - Journal of Futures Markets
SN - 0270-7314
IS - 4
ER -