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Common factors of commodity prices
Delle Chiaie, Simona; Ferrara, Laurent; Giannone, Domenico - In: Journal of applied econometrics 37 (2022) 3, pp. 461-476
Persistent link: https://www.econbiz.de/10013186690
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Commodity prices in empirical research
Carpantier, Jean-François - 2020
Persistent link: https://www.econbiz.de/10012243908
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Time-Variations in Commodity Price Jumps
Diewald, Laszlo - 2019
, i.e. exhibits seasonality. We propose a stochastic volatility jump-diffusion model to capture this seasonal variation …
Persistent link: https://www.econbiz.de/10012905261
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Oil commodity returns and macroeconomic factors : a time-varying approach
Schalck, Christophe; Chenavaz, Régis - In: Research in international business and finance 33 (2015), pp. 290-303
Persistent link: https://www.econbiz.de/10011325859
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The macroeconomic response to real and financial factors, commodity prices, and monetary policy : International evidence
Siklos, Pierre L. - In: Economic systems 45 (2021) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10012798128
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Volatility Term Structures in Commodity Markets
Hollstein, Fabian - 2019
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 substantial interconnectedness of the volatility term structures of …
Persistent link: https://www.econbiz.de/10012858896
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Propagation of commodity market shocks
Marini, Annalisa; McCorriston, Steve - 2017
Persistent link: https://www.econbiz.de/10011898902
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Jumps in Commodity Markets
Nguyen, Duc Binh Benno - 2019
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...
Persistent link: https://www.econbiz.de/10012900597
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The dynamic spillover effects of macroeconomic and financial uncertainty on commodity markets uncertainties
Ben Haddad, Hedi; Mezghani, Imed; Gouider, Abdessalem - In: Economies : open access journal 9 (2021) 2, pp. 1-22
commodity price uncertainties are proven to be leading indicators of uncertainty rather than volatility in commodity markets. In …
Persistent link: https://www.econbiz.de/10012548331
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The effects of uncertainty measures on commodity prices from a time-varying perspective
Huang, Jianbai; Li, Yingli; Zhang, Hongwei; Chen, Jinyu - In: International review of economics & finance : IREF 71 (2021), pp. 100-114
Persistent link: https://www.econbiz.de/10012627764