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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.
Subjects:Energy
Commodities
Futures Markets
Financial Speculation
Multivariate GARCH
JEL:C32
G13
Q11
Q43
Document Type:Working Paper
Appears in Collections:FEEM Working Papers, Fondazione Eni Enrico Mattei

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