Hollstein, Fabian; Prokopczuk, Marcel; Würsig, Christoph - In: Journal of Futures Markets 40 (2019) 4, pp. 527-555
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...