Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/172869
Authors: 
Nguyen, Duc Binh Benno
Prokopczuk, Marcel
Wese Simen, Chardin
Year of Publication: 
2017
Series/Report no.: 
Hannover Economic Papers (HEP) 615
Abstract: 
This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show high jump correlations while jumps of meats and softs commodities are barely correlated. Looking at crossmarket correlations, we find that returns of commodities co-move with the stock market, while jumps can be diversified. Most commodities are strong hedges for U.S. Dollar returns but weak hedges for U.S. Dollar jumps. Most commodities act as both return and jump hedges for Treasury notes.
Subjects: 
Commodities
Jump Risk
Tail Risk
Hedge
JEL: 
G10
G11
G13
Q02
Document Type: 
Working Paper

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