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Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
Quaderni di Dipartimento No. 170
Verlag: 
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ), Pavia
Zusammenfassung: 
This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying.
Schlagwörter: 
Energy
Commodities
Futures markets
Financial speculation
Multivariate GARCH
JEL: 
C32
G13
Q11
Q43
Dokumentart: 
Working Paper

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