The Return-Volatility Relation in Commodity Futures Markets

Chiarella, C; Kang, B; Nikitopoulos, CS; Tô, TD

The Return-Volatility Relation in Commodity Futures Markets

Chiarella, C Kang, B

Nikitopoulos, CS

Tô, TD

Permalink

Publication Type:: Journal Article
Citation:: Journal of Futures Markets, 2016, 36 (2), pp. 127 - 152
Issue Date:: 2016-02-01

Open Access

Copyright Clearance Process

Recently Added
In Progress
Open Access

This item is open access.

Adobe PDF

Download Accepted ManuscriptAdobe PDF (1.1 MB)

View on publisher's site

View statistics

Full metadata record

Field	Value	Language
dc.contributor.author	Chiarella, C	en_US
dc.contributor.author	Kang, B https://orcid.org/0000-0002-0012-0964	en_US
dc.contributor.author	Nikitopoulos, CS https://orcid.org/0000-0002-5879-3731	en_US
dc.contributor.author	Tô, TD	en_US
dc.date.available	2020-05-25T19:28:32Z
dc.date.issued	2016-02-01	en_US
dc.identifier.citation	Journal of Futures Markets, 2016, 36 (2), pp. 127 - 152	en_US
dc.identifier.issn	0270-7314	en_US
dc.identifier.uri	http://hdl.handle.net/10453/41286
dc.description.abstract	© 2016 Wiley Periodicals, Inc. By employing a continuous time multi-factor stochastic volatility model, the dynamic relation between returns and volatility in the commodity futures markets is analyzed. The model is estimated by using an extensive database of gold and crude oil futures and futures options. A positive relation in the gold futures market and a negative relation in the crude oil futures market subsist, especially over periods of high volatility principally driven by market-wide shocks. The opposite relation holds over quiet periods typically driven by commodity-specific effects. According to the proposed convenience yield effect, normal (inverted) commodity futures markets entail a negative (positive) relation.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP1095177
dc.relation.ispartof	Journal of Futures Markets	en_US
dc.relation.isbasedon	10.1002/fut.21717	en_US
dc.subject.classification	Finance	en_US
dc.title	The Return-Volatility Relation in Commodity Futures Markets	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	36	en_US
utslib.for	1502 Banking, Finance and Investment	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.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	36	en_US

Abstract:

© 2016 Wiley Periodicals, Inc. By employing a continuous time multi-factor stochastic volatility model, the dynamic relation between returns and volatility in the commodity futures markets is analyzed. The model is estimated by using an extensive database of gold and crude oil futures and futures options. A positive relation in the gold futures market and a negative relation in the crude oil futures market subsist, especially over periods of high volatility principally driven by market-wide shocks. The opposite relation holds over quiet periods typically driven by commodity-specific effects. According to the proposed convenience yield effect, normal (inverted) commodity futures markets entail a negative (positive) relation.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/41286