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The economic drivers of commodity market volatility · Study

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ArticleThe economic drivers of commodity market volatility

Marcel Prokopczuk2019

OA

Articlegreen2019

The economic drivers of commodity market volatility

Marcel Prokopczuk · Andrei Tudor Stancu · Lazaros Symeonidis

118 citations·0/0 files stored·Journal of International Money and Finance

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Market Dynamics and Volatility Economics of Agriculture and Food Markets Financial Risk and Volatility Modeling

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References

1988Testing for a Unit Root in Time Series Regression 1973An Intertemporal Capital Asset Pricing Model 2003Modeling and Forecasting Realized Volatility 1989Why Does Stock Market Volatility Change Over Time?2008A Simple Approximate Long-Memory Model of Realized Volatility 2001The distribution of realized stock return volatility 2006Facts and Fantasies about Commodity Futures 2012Index Investment and the Financialization of Commodities

Cited by

2022Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets 2021The information content of uncertainty indices for natural gas futures volatility forecasting 2021Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era 2022Food inflation and geopolitical risks: analyzing European regions amid the Russia-Ukraine war 2020Impact of the global financial crisis on the crude oil market 2023

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2017Futures Trading and the Excess Co-movement of Commodity Pricesarticle · 13 shared references 2017Diversification benefits of commodities: A stochastic dominance efficiency approacharticle · 12 shared references 2015Market sentiment in commodity futures returnsarticle · 11 shared references 2014Convective Risk Flows in Commodity Futures Marketsarticle · 10 shared references 2013Are there common factors in individual commodity futures returns?article · 10 shared references 2016The Financialization of Food?article · 10 shared references

Details

Year2019

Typearticle

Published2019-07-13

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations118

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.jimonfin.2019.102063

openalex_workW435953217

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The connectedness of oil shocks, green bonds, sukuks and conventional bonds

2021Oil price volatility forecasts: What do investors need to know?

2023Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach