This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily returns at different maturities, from 1998 to 2010 and for delivery dates up to 120 months. The analysis of the fourth...

This article presents an empirical study of thirteen derivative markets for commodity and financial assets. This paper goes beyond statistical analysis by including the maturity as a variable for futures contracts's daily returns, from 1998 to 2010 and for delivery dates up to 120 months. We...

This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and inter-market linkages, both within the commodity complex and between...

This article uses graph theory to provide novel evidence regarding market integration, a necessary condition for systemic risk to appear. Relying on daily futures returns covering a 12-year period, we examine cross- and inter-market linkages, both within the commodity complex and between...

To what extent are futures prices interconnected across the maturity curve? Where in the term structure do price shocks originate, and which maturities do they reach? We propose a new approach, based on information theory, to study these cross-maturity linkages and the extent to which...

We examine the impact of two financial crises on commodity derivative markets: the subprime crisis and the bankruptcy of Lehman Brothers. These crises are "ex- ternal" to the commodity markets because they occurred in the financial sphere. Still, because commodity markets are now highly...

This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and inter-market linkages, both within the commodity complex and between...

This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily returns at different maturities, from 1998 to 2010 and for delivery dates up to 120 months. The analysis of the fourth...

Relying on conditional entropy and on the notion of information transfer, we investigate price relationships in the most important commodity futures market: the American crude oil market. We first show that the information shared by futures contracts with different delivery dates increases...