Jumps in energy and non-energy commodities

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dc.contributor.author Bouri, Elie
dc.contributor.author Gupta, Rangan
dc.date.accessioned 2021-09-28T12:22:03Z
dc.date.issued 2020-03
dc.description.abstract Jumps in the price process of assets represent a sort of tail risk and are found to affect many aspects of asset pricing, volatility modelling and asset allocation. In this paper, we detect price jumps in the realised volatility series of a wide set of commodity futures and find evidence of jumpy behaviour, especially in energy and agricultural commodities. We examine whether the realised volatilities of commodity futures jump together and find evidence that cojumping is significant and generally clustered within the commodity groups, suggesting some sort of segmentation regarding the tail risk behaviour across energy, agricultural and metals commodities. Additional analysis shows that price jumps and macroeconomic news surprises tend to occur together in specific commodities such as crude oil, which confirms earlier findings about the sensitivity of crude oil to news about the economy. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2022-04-23
dc.description.librarian hj2021 en_ZA
dc.description.uri https://onlinelibrary.wiley.com/journal/17530237 en_ZA
dc.identifier.citation Bouri, E. & Gupta, R. 2020, 'Jumps in energy and non-energy commodities', OPEC Energy Review, vol. 44, no. 1, pp. 91-111. en_ZA
dc.identifier.issn 1753-0229 (print)
dc.identifier.issn 1753-0237 (online)
dc.identifier.other 10.1111/opec.12171
dc.identifier.uri http://hdl.handle.net/2263/81974
dc.language.iso en en_ZA
dc.publisher Wiley en_ZA
dc.rights © 2020 Organization of the Petroleum Exporting Countries. Published by John Wiley & Sons Ltd. This is the pre-peer reviewed version of the following article : 'Jumps in energy and non-energy commodities', OPEC Energy Review, vol. 44, no. 1, pp. 91-111, 2020, doi : 10.1111/opec.12171. The definite version is available at : https://onlinelibrary.wiley.com/journal/17530237. en_ZA
dc.subject Realized volatility en_ZA
dc.subject Energy and non-energy commodities en_ZA
dc.subject Jumps en_ZA
dc.subject Co-jumps en_ZA
dc.subject Macroeconomic news en_ZA
dc.title Jumps in energy and non-energy commodities en_ZA
dc.type Postprint Article en_ZA


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