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Returns in commodities futures markets and financial speculation: A multivariate GARCH approach

1st Person: Manera, Matteo
Additional Persons: Nicolini, Marcella; Vignati, Ilaria
Type of Publication: Paper
Language: English
Published: Fondazione Eni Enrico Mattei (FEEM) 2012
Series: Nota di Lavoro
Online: https://www.econstor.eu/bitstream/10419/59694/1/715903659.pdf
Description: This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying.

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