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The economic drivers of commodity market volatility
16 references·10 citing·44 second hop
The economic drivers of commodity market volatility (2019)The economic drivers of commodity market …The Fundamentals of Commodity Futures Returns (2012)The Fundamentals of Commodity…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Real-Time Measurement of Business Conditions (2009)Real-Time Measurement of Busi…Macro Factors in Bond Risk Premia (2009)Macro Factors in Bond Risk Pr…Variance Risk Premiums (2008)Variance Risk PremiumsCarry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The distribution of realized stock return volatility (2001)The distribution of realized …Stock market volatility and the business cycle (1996)Stock market volatility and t…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The connectedness of oil shocks, green bonds, sukuks and conventional bonds (2023)The connectedness of oil shoc…Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach (2023)Contemporaneous and noncontem…What do the AI methods tell us about predicting price volatility of key natural resources: Evidence from hyperparameter tuning (2022)What do the AI methods tell u…Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets (2022)Small fish in big ponds: Conn…Food inflation and geopolitical risks: analyzing European regions amid the Russia-Ukraine war (2022)Food inflation and geopolitic…The information content of uncertainty indices for natural gas futures volatility forecasting (2021)The information content of un…Oil price volatility forecasts: What do investors need to know? (2021)Oil price volatility forecast…Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era (2021)Dynamic return and volatility…Impact of the global financial crisis on the crude oil market (2020)Impact of the global financia…Volatility term structures in commodity markets (2019)Volatility term structures in…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Climate policy uncertainty and world renewable energy index volatility forecasting (2022)Geopolitical risk and dynamic connectedness between commodity markets (2022)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)The VIX, the variance premium and stock market volatility (2014)Momentum crashes (2016)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Options, Futures and Other Derivatives (2003)“Options, Futures, and Other Derivatives” (2016)
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2008Variance Risk Premiums1,328 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2009Macro Factors in Bond Risk Premia1,043 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 2009Real-Time Measurement of Business Conditions916 cited
  • 2008Carry Trades and Currency Crashes792 cited
  • 1996Stock market volatility and the business cycle779 cited
  • 2012The Fundamentals of Commodity Futures Returns760 cited

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Cited by

  • 2022Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets106 cited
  • 2021The information content of uncertainty indices for natural gas futures volatility forecasting101 cited
  • 2021Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era90 cited
  • 2022Food inflation and geopolitical risks: analyzing European regions amid the Russia-Ukraine war82 cited
  • 2020Impact of the global financial crisis on the crude oil market78 cited
  • 2023The connectedness of oil shocks, green bonds, sukuks and conventional bonds77 cited
  • 2021Oil price volatility forecasts: What do investors need to know?43 cited
  • 2023Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach39 cited
  • 2022What do the AI methods tell us about predicting price volatility of key natural resources: Evidence from hyperparameter tuning37 cited
  • 2019Volatility term structures in commodity markets27 cited