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This study analyses the impact of the Geopolitical Risk Index (GPR) on the volatility of commodity futures returns from … insights highlight the importance of geopolitical risks on commodity market volatility and returns, aiding in risk management …
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In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...
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The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity … markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this … purpose, we use the delta Conditional Value-at-Risk CoVaR) approach recently proposed by Adrian and Brunnermeier (2016) based …
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