facts of the US natural gas market such as seasonality and the presence of price spikes in the spot market. Secondly, we …

figures, becomes even more crucial for a proper valuation of derivatives written on agricultural commodities. The occurrence …

frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity … sectors. Energy, metal and grains commodities show high jump correlations while jumps of meats and softs commodities are … barely correlated. Looking at crossmarket correlations, we find that returns of commodities co-move with the stock market …

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and … natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …