EconStor >
Fondazione Eni Enrico Mattei (FEEM), Mailand >
FEEM Working Papers, Fondazione Eni Enrico Mattei  >

Please use this identifier to cite or link to this item:
Title:Returns in commodities futures markets and financial speculation: A multivariate GARCH approach PDF Logo
Authors:Manera, Matteo
Nicolini, Marcella
Vignati, Ilaria
Issue Date:2012
Series/Report no.:Nota di lavoro, Fondazione Eni Enrico Mattei: Energy: Resources and Markets 23.2012
Abstract: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 CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying.
Futures Markets
Financial Speculation
Multivariate GARCH
Document Type:Working Paper
Appears in Collections:FEEM Working Papers, Fondazione Eni Enrico Mattei

Files in This Item:
File Description SizeFormat
715903659.pdf682.73 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.