Commodity futures and a wavelet-based risk assessment
Theo Berger and
Robert Czudaj ()
Physica A: Statistical Mechanics and its Applications, 2020, vol. 554, issue C
This paper provides an in-depth assessment of commodity futures on applied risk measurement. We provide a thorough empirical study on deconstructed commodity futures returns and present a novel wavelet-based portfolio strategy. First, we examine the dependence structure between commodity futures and show that it is described by different dependence regimes in the short-run, medium-run and long-run. Then, the out-of-sample portfolio study unveils that daily portfolio management is mostly driven by medium-run and long-run information. Furthermore, we also find that information inherent in long-run trends outperform the information included in short-run trends and this underlines the usefulness of the wavelet approach for portfolio management.
Keywords: Commodity futures; Portfolio management; Risk measurement; Minimum variance; Wavelet decomposition (search for similar items in EconPapers)
JEL-codes: C58 G17 Q47 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:554:y:2020:i:c:s037843712030114x
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