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
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: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
Document Version: 
Published Version

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