Financial stress and realized volatility : the case of agricultural commodities

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dc.contributor.author Bonato, Matteo
dc.contributor.author Cepni, Oguzhan
dc.contributor.author Gupta, Rangan
dc.contributor.author Pierdzioch, Christian
dc.date.accessioned 2024-09-17T06:36:54Z
dc.date.available 2024-09-17T06:36:54Z
dc.date.issued 2024-08
dc.description DATA AVAILABILITY : Data will be made available on request. en_US
dc.description.abstract Given recent debates about the financialization of commodity markets, we analyze the predictive power of financial stress for the realized volatility of agricultural commodity price returns. We estimate realized volatility from high-frequency intra-day data, where the sample period ranges from 2009 to 2020. We study the in-sample and out-of-sample predictability of realized volatility using variants of the popular heterogeneous autoregressive (HAR) model for realized volatility. We analyze the predictive value of financial stress by region of origin and by financial source, and we also control for various realized moments (leverage, realized skewness, realized kurtosis, realized jumps, realized upside tail risk, and realized downside tail risk). We find for several commodities evidence of in-sample predictive value of financial stress for realized volatility, consistent with the financialization hypothesis. This in-sample evidence, however, does not necessarily extend to an out-of-sample forecasting environment. en_US
dc.description.department Economics en_US
dc.description.librarian hj2024 en_US
dc.description.sdg SDG-08:Decent work and economic growth en_US
dc.description.uri https://www.elsevier.com/locate/ribaf en_US
dc.identifier.citation Bonato, M., Cepni, O., Gupta, R. et al. 2024, 'Financial stress and realized volatility : the case of agricultural commodities', Research in International Business and Finance, vol. 71, art. 102442, pp. 1-17, doi : 10.1016/j.ribaf.2024.102442. en_US
dc.identifier.issn 0275-5319 (print)
dc.identifier.issn 1878-3384 (online)
dc.identifier.other 10.1016/j.ribaf.2024.102442
dc.identifier.uri http://hdl.handle.net/2263/98244
dc.language.iso en en_US
dc.publisher Elsevier en_US
dc.rights © 2024 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/). en_US
dc.subject Realized volatility en_US
dc.subject Agricultural commodities en_US
dc.subject Financialization en_US
dc.subject Realized moments en_US
dc.subject Predictability en_US
dc.subject SDG-08: Decent work and economic growth en_US
dc.subject Heterogeneous autoregressive (HAR) model en_US
dc.title Financial stress and realized volatility : the case of agricultural commodities en_US
dc.type Article en_US


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