This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying … power of oil shocks becomes stronger after the crisis. The different responses of commodities are described in detail by …

sectors. Energy, metal and grains commodities show high jump correlations while jumps of meats and softs commodities are …, while jumps can be diversified. Most commodities are strong hedges for U.S. Dollar returns but weak hedges for U.S. Dollar … jumps. Most commodities act as both return and jump hedges for Treasury notes. …