Department of Economics and Business Economics

Factor Structure in Commodity Futures Return and Volatility

Research output: Working paper/Preprint Working paperResearch

Standard

Factor Structure in Commodity Futures Return and Volatility. / Christoffersen, Peter; Lunde, Asger; Olesen, Kasper Vinther.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

Research output: Working paper/Preprint Working paperResearch

Harvard

Christoffersen, P, Lunde, A & Olesen, KV 2014 'Factor Structure in Commodity Futures Return and Volatility' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Christoffersen, P., Lunde, A., & Olesen, K. V. (2014). Factor Structure in Commodity Futures Return and Volatility. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2014-31

CBE

Christoffersen P, Lunde A, Olesen KV. 2014. Factor Structure in Commodity Futures Return and Volatility. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Christoffersen, Peter, Asger Lunde and Kasper Vinther Olesen Factor Structure in Commodity Futures Return and Volatility. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2014-31). 2014., 59 p.

Vancouver

Christoffersen P, Lunde A, Olesen KV. Factor Structure in Commodity Futures Return and Volatility. Aarhus: Institut for Økonomi, Aarhus Universitet. 2014 Sep 15.

Author

Christoffersen, Peter ; Lunde, Asger ; Olesen, Kasper Vinther. / Factor Structure in Commodity Futures Return and Volatility. Aarhus : Institut for Økonomi, Aarhus Universitet, 2014. (CREATES Research Papers; No. 2014-31).

Bibtex

@techreport{feb5d073592e43498dbd036d00ffce6b,
title = "Factor Structure in Commodity Futures Return and Volatility",
abstract = "Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration with the equity market. We find evidence of a factor structure in daily commodity futures returns. However, the factor structure in daily commodity futures volatility is even stronger than in returns. When computing model-free realized commodity betas with the stock market we find that they were high during 2008-2010 but have since returned to the pre-crisis level close to zero. The common factor in commodity volatility is nevertheless clearly related to stock market volatility. We conclude that, while commodity markets appear to again be segmented from the equity market when only returns are considered, commodity volatility indicates a nontrivial degree of market integration.",
keywords = "Factor structure, financial volatility, beta, high-frequency data, commodities, financialization, Factor structure, Financial volatility, Beta, High-frequency data, Commodities, Financialization",
author = "Peter Christoffersen and Asger Lunde and Olesen, {Kasper Vinther}",
year = "2014",
month = sep,
day = "15",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2014-31",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Factor Structure in Commodity Futures Return and Volatility

AU - Christoffersen, Peter

AU - Lunde, Asger

AU - Olesen, Kasper Vinther

PY - 2014/9/15

Y1 - 2014/9/15

N2 - Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration with the equity market. We find evidence of a factor structure in daily commodity futures returns. However, the factor structure in daily commodity futures volatility is even stronger than in returns. When computing model-free realized commodity betas with the stock market we find that they were high during 2008-2010 but have since returned to the pre-crisis level close to zero. The common factor in commodity volatility is nevertheless clearly related to stock market volatility. We conclude that, while commodity markets appear to again be segmented from the equity market when only returns are considered, commodity volatility indicates a nontrivial degree of market integration.

AB - Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration with the equity market. We find evidence of a factor structure in daily commodity futures returns. However, the factor structure in daily commodity futures volatility is even stronger than in returns. When computing model-free realized commodity betas with the stock market we find that they were high during 2008-2010 but have since returned to the pre-crisis level close to zero. The common factor in commodity volatility is nevertheless clearly related to stock market volatility. We conclude that, while commodity markets appear to again be segmented from the equity market when only returns are considered, commodity volatility indicates a nontrivial degree of market integration.

KW - Factor structure, financial volatility, beta, high-frequency data, commodities, financialization

KW - Factor structure

KW - Financial volatility

KW - Beta

KW - High-frequency data

KW - Commodities

KW - Financialization

M3 - Working paper

T3 - CREATES Research Papers

BT - Factor Structure in Commodity Futures Return and Volatility

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -