The realized volatility of commodity futures: Interconnectedness and determinants
Using high frequency data and connectedness measures based on a time-varying
parameter vector autoregression (TVP-VAR) model, we study dynamic connectedness …
parameter vector autoregression (TVP-VAR) model, we study dynamic connectedness …
Macro factors and the realized volatility of commodities: a dynamic network analysis
This paper explores the relationship between macro-factors and the realized volatility of
commodity futures. Three main commodities—soybeans, gold and crude oil—are …
commodity futures. Three main commodities—soybeans, gold and crude oil—are …
Energy commodities, precious metals and industrial metal markets: A nexus across different investment horizons and market conditions
MU Rehman, XV Vo - Resources Policy, 2021 - Elsevier
We investigate the presence of returns integration between energy commodities, precious
metal commodities, and industrial metal commodities. We sample WTI crude oil, WTI Brent …
metal commodities, and industrial metal commodities. We sample WTI crude oil, WTI Brent …
Impact of media hype and fake news on commodity futures prices: A deep learning approach over the COVID-19 period
We investigate the reactions of eight commodity futures to media hype and fake news during
COVID-19, utilising the Ravenpack news database, along with deep learning algorithms …
COVID-19, utilising the Ravenpack news database, along with deep learning algorithms …
Grain price and volatility transmission from international to domestic markets in develo** countries
Understanding the sources of domestic food price volatility in develo** countries and the
extent to which it is transmitted from international to domestic markets is critical to help …
extent to which it is transmitted from international to domestic markets is critical to help …
Market interdependence and volatility transmission among major crops
This article provides a comprehensive analysis of the dynamics of volatility across major
agricultural commodities in the United States. Volatility interactions across markets may …
agricultural commodities in the United States. Volatility interactions across markets may …
Multiscale information transmission between commodity markets: an EMD-Based transfer entropy network
C Liu, X Sun, J Wang, J Li, J Chen - Research in International Business and …, 2021 - Elsevier
In the context of the growing financialisation of commodity markets, debate on how they
interact with each other has returned to centre stage. The main motivation of this study is to …
interact with each other has returned to centre stage. The main motivation of this study is to …
Forecasting the price of gold
This article seeks to evaluate the appropriateness of a variety of existing forecasting
techniques (17 methods) at providing accurate and statistically significant forecasts for gold …
techniques (17 methods) at providing accurate and statistically significant forecasts for gold …
Comovement in the commodity futures markets: An analysis of the energy, grains, and livestock sectors
R Adhikari, KJ Putnam - Journal of Commodity Markets, 2020 - Elsevier
We examine the excess comovement of commodity futures returns. We contend that
commodities categorized in the same sector possess fundamental price linkages; thus …
commodities categorized in the same sector possess fundamental price linkages; thus …
The role of jumps in the agricultural futures market on forecasting stock market volatility: New evidence
In this study, we explore the effect of cojumps within the agricultural futures market, and
cojumps between the agricultural futures market and the stock market, on stock volatility …
cojumps between the agricultural futures market and the stock market, on stock volatility …