Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230072
Authors: 
Hollstein, Fabian
Prokopczuk, Marcel
Würsig, Christoph
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Futures Markets [ISSN:] 1096-9934 [Volume:] 40 [Issue:] 4 [Pages:] 527-555
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
In this study, we comprehensively examine the volatility term structures in commodity markets. We model state-dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the equity market. We detect strong economic links and a substantial interconnectedness of the volatility term structures of commodities. Accounting for intra-commodity-market spillovers significantly improves out-of-sample forecasts of the components of the volatility term structure. Spillovers following macroeconomic news announcements account for a large proportion of this forecast power. There thus seems to be substantial information transmission between different commodity markets.
Subjects: 
commodities
information transmission
spillovers
volatility term structure
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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