This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a forty year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values – estimated...

In this paper we study the stochastic behavior of the prices and volatilities of a sample of six of the most important commodity markets and we compare these properties to those of the equity market. We observe a substantial degree of heterogeneity in the behavior of the series. Our findings...

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 explains 96% of the realised comovement. Dissecting the...

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 sectors. Energy, metal and grains commodities show...