Abstract
| Original language | English |
|---|---|
| Journal | Journal of Financial and Quantitative Analysis |
| Volume | 54 |
| Issue number | 3 |
| Pages (from-to) | 1083-1115 |
| Number of pages | 33 |
| ISSN | 0022-1090 |
| DOIs | |
| Publication status | Published - Jun 2019 |
Bibliographical note
Published online: 28 August 2018Cite this
}
Factor Structure in Commodity Futures Return and Volatility. / Christoffersen, Peter; Lunde, Asger; Olesen, Kasper V.
In: Journal of Financial and Quantitative Analysis, Vol. 54, No. 3, 06.2019, p. 1083-1115.Research output: Contribution to journal › Journal article › Research › peer-review
TY - JOUR
T1 - Factor Structure in Commodity Futures Return and Volatility
AU - Christoffersen, Peter
AU - Lunde, Asger
AU - Olesen, Kasper V.
N1 - Published online: 28 August 2018
PY - 2019/6
Y1 - 2019/6
N2 - We uncover stylized facts of commodity futures' price and volatility dynamics in the post-financialization period and find a factor structure in daily commodity volatility that is much stronger than the factor structure in returns. The common factor in commodity volatility relates to stock market volatility as well as to the business cycle. Model-free realized commodity betas with the stock market were high during 2008-2010, but have since returned to the pre-crisis level, close to zero. While commodity markets appear segmented from the equity market when considering only returns, commodity volatility indicates a nontrivial degree of market integration.
AB - We uncover stylized facts of commodity futures' price and volatility dynamics in the post-financialization period and find a factor structure in daily commodity volatility that is much stronger than the factor structure in returns. The common factor in commodity volatility relates to stock market volatility as well as to the business cycle. Model-free realized commodity betas with the stock market were high during 2008-2010, but have since returned to the pre-crisis level, close to zero. While commodity markets appear segmented from the equity market when considering only returns, commodity volatility indicates a nontrivial degree of market integration.
UR - https://sfx-45cbs.hosted.exlibrisgroup.com/45cbs?url_ver=Z39.88-2004&url_ctx_fmt=info:ofi/fmt:kev:mtx:ctx&ctx_enc=info:ofi/enc:UTF-8&ctx_ver=Z39.88-2004&rfr_id=info:sid/sfxit.com:azlist&sfx.ignore_date_threshold=1&rft.object_id=954921349269&rft.object_portfolio_id=&svc.holdings=yes&svc.fulltext=yes
U2 - 10.1017/S0022109018000765
DO - 10.1017/S0022109018000765
M3 - Journal article
VL - 54
SP - 1083
EP - 1115
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
SN - 0022-1090
IS - 3
ER -