Volatility term structures in commodity markets

Hollstein, F., Prokopczuk, M. and Würsig, C. (2020) Volatility term structures in commodity markets. Journal of Futures Markets, 40 (4). pp. 527-555. ISSN 1096-9934 doi: 10.1002/fut.22083

Abstract/Summary

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 commodities. Accounting for intra‐commodity‐market spillovers significantly improves out‐of‐sample forecasts of the components of the volatility term structure. Spillovers following macroeconomic news announcements account for a large proportion of this forecast power. There thus seems to be substantial information transmission between different commodity markets.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/88222
Item Type	Article
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Uncontrolled Keywords	Economics and Econometrics, Accounting, General Business, Management and Accounting, Finance
Publisher	Wiley
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