.png){kind=icon}
返回
Jumps in commodity markets
.png){kind=icon}
OA
AI
DOI：10.1016/j.jcomm.2018.10.002.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show high jump correlations while jumps of meats and softs commodities are barely correlated. Looking at cross-market correlations, we find that returns of commodities co-move with the stock market, while jumps can be diversified. Most commodities are strong hedges for U.S. Dollar returns but weak hedges for U.S. Dollar jumps. Most commodities act as both return and jump hedges for Treasury notes.
Keyword:
Commodities
Jump risk
Tail risk
Hedge
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
4.5
论文数:
367
被引数:
943
机构
引用论文
Stochastic convenience yield implied from commodity futures and interest rates.png)
JOURNAL OF FINANCEOAAI
JOURNAL OF FINANCEIF9.5
OAAI分享收藏Oil and US dollar exchange rate dependence: A detrended cross-correlation approachENERGY ECONOMICS
ENERGY ECONOMICSIF14.2
PREAI
分享收藏
查看更多内容