In this paper, we study jumps in commodity prices. Unlike assumed in existing models of commodity price dynamics, a …

frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity … sectors. Energy, metal and grains commodities show high jump correlations while jumps of meats and softs commodities are … barely correlated. Looking at crossmarket correlations, we find that returns of commodities co-move with the stock market …

-dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the … commodities. Accounting for intra-commodity-market spillovers significantly improves out-of-sample forecasts of the components of …

In this paper we develop a multi-factor model for the joint dynamics of related commodity spot prices in continuous … rich dependencies among the latent factors and thus, the commodity prices. The co-integrated behavior between the different … prices. The Kalman Filter methodology is applied to estimate the model for crude oil, heating oil and gasoline futures …