This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less … frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity …

This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less … frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity …

This paper studies comovements in commodity futures markets. We compare factor models with respect to their fit of … commodity return comovements. A model based on traded long-short portfolio returns outperforms a macroeconomic model, and …

This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less … frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity …

In this article, we consider the pricing and hedging of single route dry bulk freight futures contracts traded on the … many other commodity markets, freight services are non-storable, making a simple cost-of-carry valuation impossible. We … empirically compare the pricing and hedging accuracy of a variety of continuous-time futures pricing models. Our results show that …

We develop a framework to quantify the convenience yield risk (CYR) inherent to each commodity futures market …. Implementing our approach, we document that our novel CYR measure is informative about future commodity returns. In panel … regressions, the CYR predicts future returns with a positive sign. Economically, a strategy that opens long positions in commodity …