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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
id
oai_econstor.eu_10419-59694
recordtype
econstor
institution
MPG
collection
ECONSTOR
title
Returns in commodities futures markets and financial speculation: A multivariate GARCH approach
spellingShingle
Returns in commodities futures markets and financial speculation: A multivariate GARCH approach
Manera, Matteo
Nota di Lavoro
title_short
Returns in commodities futures markets and financial speculation: A multivariate GARCH approach
title_full
Returns in commodities futures markets and financial speculation: A multivariate GARCH approach
title_fullStr
Returns in commodities futures markets and financial speculation: A multivariate GARCH approach
title_full_unstemmed
Returns in commodities futures markets and financial speculation: A multivariate GARCH approach
title_sort
Returns in commodities futures markets and financial speculation: A multivariate GARCH approach
format
electronic Article
format_phy_str_mv
Paper
publisher
Fondazione Eni Enrico Mattei (FEEM)
publishDate
2012
language
English
author
Manera, Matteo
author2
Nicolini, Marcella
Vignati, Ilaria
author2Str
Nicolini, Marcella
Vignati, Ilaria
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.
url
https://www.econstor.eu/bitstream/10419/59694/1/715903659.pdf
series
Nota di Lavoro
seriesStr
Nota di Lavoro
Nota di Lavoro
series2
Nota di Lavoro
series2_facet
Nota di Lavoro
up_date
2019-05-24T02:51:04.247Z
_version_
1634380072928411649

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