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Factor structure in commodity futures return and volatility

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Standard

Factor structure in commodity futures return and volatility. / Christoffersen, Peter; Lunde, Asger; Olesen, Kasper V.

I: Journal of Financial and Quantitative Analysis, Bind 54, Nr. 3, 06.2019, s. 1083-1115.

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

Harvard

Christoffersen, P, Lunde, A & Olesen, KV 2019, 'Factor structure in commodity futures return and volatility', Journal of Financial and Quantitative Analysis, bind 54, nr. 3, s. 1083-1115. https://doi.org/10.1017/S0022109018000765

APA

Christoffersen, P., Lunde, A., & Olesen, K. V. (2019). Factor structure in commodity futures return and volatility. Journal of Financial and Quantitative Analysis, 54(3), 1083-1115. https://doi.org/10.1017/S0022109018000765

CBE

Christoffersen P, Lunde A, Olesen KV. 2019. Factor structure in commodity futures return and volatility. Journal of Financial and Quantitative Analysis. 54(3):1083-1115. https://doi.org/10.1017/S0022109018000765

MLA

Christoffersen, Peter, Asger Lunde og Kasper V. Olesen. "Factor structure in commodity futures return and volatility". Journal of Financial and Quantitative Analysis. 2019, 54(3). 1083-1115. https://doi.org/10.1017/S0022109018000765

Vancouver

Christoffersen P, Lunde A, Olesen KV. Factor structure in commodity futures return and volatility. Journal of Financial and Quantitative Analysis. 2019 jun.;54(3):1083-1115. https://doi.org/10.1017/S0022109018000765

Author

Christoffersen, Peter ; Lunde, Asger ; Olesen, Kasper V. / Factor structure in commodity futures return and volatility. I: Journal of Financial and Quantitative Analysis. 2019 ; Bind 54, Nr. 3. s. 1083-1115.

Bibtex

@article{cd3736a893b64599bd5fbac06494d989,
title = "Factor structure in commodity futures return and volatility",
abstract = "We uncover stylized facts of commodity futures' price and volatility dynamics in the post-financialization period and find a factor structure in daily commodity volatility that is much stronger than the factor structure in returns. The common factor in commodity volatility relates to stock market volatility as well as to the business cycle. Model-free realized commodity betas with the stock market were high during 2008-2010 but have since returned to the pre-crisis level, close to{\^A} 0. While commodity markets appear segmented from the equity market when considering only returns, commodity volatility indicates a nontrivial degree of market integration.",
author = "Peter Christoffersen and Asger Lunde and Olesen, {Kasper V.}",
year = "2019",
month = jun,
doi = "10.1017/S0022109018000765",
language = "English",
volume = "54",
pages = "1083--1115",
journal = "Journal of Financial and Quantitative Analysis",
issn = "0022-1090",
publisher = "Cambridge University Press",
number = "3",

}

RIS

TY - JOUR

T1 - Factor structure in commodity futures return and volatility

AU - Christoffersen, Peter

AU - Lunde, Asger

AU - Olesen, Kasper V.

PY - 2019/6

Y1 - 2019/6

N2 - We uncover stylized facts of commodity futures' price and volatility dynamics in the post-financialization period and find a factor structure in daily commodity volatility that is much stronger than the factor structure in returns. The common factor in commodity volatility relates to stock market volatility as well as to the business cycle. Model-free realized commodity betas with the stock market were high during 2008-2010 but have since returned to the pre-crisis level, close to 0. While commodity markets appear segmented from the equity market when considering only returns, commodity volatility indicates a nontrivial degree of market integration.

AB - We uncover stylized facts of commodity futures' price and volatility dynamics in the post-financialization period and find a factor structure in daily commodity volatility that is much stronger than the factor structure in returns. The common factor in commodity volatility relates to stock market volatility as well as to the business cycle. Model-free realized commodity betas with the stock market were high during 2008-2010 but have since returned to the pre-crisis level, close to 0. While commodity markets appear segmented from the equity market when considering only returns, commodity volatility indicates a nontrivial degree of market integration.

UR - http://www.scopus.com/inward/record.url?scp=85052951832&partnerID=8YFLogxK

U2 - 10.1017/S0022109018000765

DO - 10.1017/S0022109018000765

M3 - Journal article

AN - SCOPUS:85052951832

VL - 54

SP - 1083

EP - 1115

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

SN - 0022-1090

IS - 3

ER -