As commodity markets have continued their expansion an extensive and complex financial industry has developed to service them. This industry includes hundreds of participating firms, including asset managers, brokers, consultants, verification agencies and a myriad of other institutions....

This article aims at establishing an understanding of the common risk factors in commodity markets, as well as their interactions with equities, currencies and interest rates. Since commodity markets often exhibit cross-sectional dependency, common risk factors exist and can be identified. By...

Purpose -The purpose of this paper is to contain an empirical application of the concept of “time series momentum” – as developed by Moskowitz et al. (2012) – to commodity markets with daily data during 1995-2012. Design/methodology/approach - The paper applies the new concept of “time...

This article assesses the cross-market linkages between commodities, stocks and bonds in a cointegration framework during 1993--2011.

This article investigates volatility spillovers in commodity markets by following the methodology pioneered in Diebold and Yilmaz (2012). By using a broad data set during 1995--2012, we address three key research questions: are there volatility spillovers within commodities? between standard...

In this article, we provide statistical evidence around jumps affecting commodity returns. Using nearly 20 years of daily data, we use Laurent, Lecourt, and Palm's (2011) methodology to jump extraction, and discuss various aspects of the estimated jump activity. On average across various...

This article investigates momentum strategies in commodity markets. Using a Markov-switching model and formal tests for the number of regimes in the data, we identify momentum trends for a variety of commodities, exchange rates, interest rates and equities. The data cover the period 1995--2012...

This article aims at establishing an understanding of the common risk factors in commodity markets, as well as their interactions with equities, currencies and interest rates. Since commodity markets often exhibit cross-sectional dependency, common risk factors exist and can be identified. By...

This article evaluates the impact of the 2006 compliance event on changes in investors' risk aversion on the European Carbon Market using the newly available option prices dataset. Thus, we aim at capturing the specific event that occurred on April 2007 as the European Commission disclosed the...