On the volatility of commodity futures prices

Clewlow, L; Kang, B; Nikitopoulos, CS

On the volatility of commodity futures prices

Clewlow, L Kang, B Nikitopoulos, CS

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Publication Type:: Chapter
Citation:: Nonlinear Economic Dynamics and Financial Modelling: Essays in Honour of Carl Chiarella, 2014, pp. 315 - 334
Issue Date:: 2014-05-01

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Field	Value	Language
dc.contributor.author	Clewlow, L	en_US
dc.contributor.author	Kang, B	en_US
dc.contributor.author	Nikitopoulos, CS https://orcid.org/0000-0002-5879-3731	en_US
dc.date.issued	2014-05-01	en_US
dc.identifier.citation	Nonlinear Economic Dynamics and Financial Modelling: Essays in Honour of Carl Chiarella, 2014, pp. 315 - 334	en_US
dc.identifier.isbn	3319074695	en_US
dc.identifier.isbn	9783319074696	en_US
dc.identifier.uri	http://hdl.handle.net/10453/122519
dc.description.abstract	© 2014 Springer International Publishing Switzerland. All rights are reserved. This paper analyzes the volatility structure of commodity futures markets by using a continuous time forward price model with stochastic volatility. The model features three distinct volatility structures, each one potentially assessing the impact of long-term, medium-term and short-term variation, respectively. Using an extensive 21 year database of commodity futures prices, the model is estimated for six key commodities: gold, crude oil, natural gas, soybean, sugar and corn. The model is well suited to identify the shape and the persistence of each volatility factor, their contribution to the total variance, the extent to which commodity futures volatility can be spanned, and the nature of the return-volatility relation.	en_US
dc.relation.ispartof	Nonlinear Economic Dynamics and Financial Modelling: Essays in Honour of Carl Chiarella	en_US
dc.relation.isbasedon	10.1007/978-3-319-07470-2_18	en_US
dc.title	On the volatility of commodity futures prices	en_US
dc.type	Chapter
utslib.for	010302 Numerical Solution of Differential and Integral Equations	en_US
utslib.for	010401 Applied Statistics	en_US
utslib.for	010205 Financial Mathematics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.publication-status	Published	en_US

Abstract:

© 2014 Springer International Publishing Switzerland. All rights are reserved. This paper analyzes the volatility structure of commodity futures markets by using a continuous time forward price model with stochastic volatility. The model features three distinct volatility structures, each one potentially assessing the impact of long-term, medium-term and short-term variation, respectively. Using an extensive 21 year database of commodity futures prices, the model is estimated for six key commodities: gold, crude oil, natural gas, soybean, sugar and corn. The model is well suited to identify the shape and the persistence of each volatility factor, their contribution to the total variance, the extent to which commodity futures volatility can be spanned, and the nature of the return-volatility relation.

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http://hdl.handle.net/10453/122519