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Using daily returns on 34 futures contracts over the 2010-2022 period, we examine the factors driving these returns. We show that all commodities can be grouped by their drivers into intuitive groups based on their factorization into 1) food, 2) metals and oil and 3) precious metals. The three...
Persistent link: https://www.econbiz.de/10014256376
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
Recently, the Shanghai Futures Exchange (SHFE) introduced gold futures trading in China. This paper is the first to study the SHFE gold futures, and to evaluate the futures hedging effectiveness since the introduction. The results show that hedging with gold futures reduces the variance of a...
Persistent link: https://www.econbiz.de/10013139612
Accusations of price manipulation in the silver and gold markets have emerged in recent years. In an effort to increase transparency, the London spot price “fixing” mechanism was recently changed from an opaque negotiation process among a small number of dealer banks to a more observable...
Persistent link: https://www.econbiz.de/10012321144
The authors investigate multiplicate relationships between investor attention and gold futures return. The Vector Auto Regression (VAR) estimates demonstrate that investor attention exhibits significant impact on gold futures returns and the effect can be positive or negative depending on how...
Persistent link: https://www.econbiz.de/10011664942
Persistent link: https://www.econbiz.de/10012313526
While much is known about the financialization of commodities, less is known about how to profitably invest in commodities. We develop a four-factor asset pricing model of commodity returns. Our four-factor model prices both commodity spot and term risk premia in an intuitive manner related to...
Persistent link: https://www.econbiz.de/10012969828
We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly negative realized and expected variance swap payoffs in most markets. We find evidence of commonalities among the realized payoffs of commodity variance swaps. We also document...
Persistent link: https://www.econbiz.de/10012905452
Using 10-year option and future data of global market, the risk-neutral skewness, estimated by model-free method has been found with the ability of pricing the average cross-sectional return in the global commodity future market, generating extra 8.3% return annually. The higher (lower) current...
Persistent link: https://www.econbiz.de/10012960978
We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of exotic cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel pricing of long-dated foreign exchange (FX)...
Persistent link: https://www.econbiz.de/10013133913