The dynamics of commodity prices

Chris Brooks and Marcel Prokopczuk ()

Quantitative Finance, 2013, vol. 13, issue 4, 527-542

Abstract: In this paper we study the stochastic behavior of the prices and volatilities of a sample of six of the most important commodity markets and we compare these properties with those of the equity market. we observe a substantial degree of heterogeneity in the behavior of the series. Our findings show that it is inappropriate to treat different kinds of commodities as a single asset class as is frequently the case in the academic literature and in the industry. We demonstrate that commodities can be a useful diversifier of equity volatility as well as equity returns. Options pricing and hedging applications exemplify the economic impacts of the differences across commodities and between model specifications.

Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (55)

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2013.769689 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The Dynamics of Commodity Prices (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:13:y:2013:i:4:p:527-542

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697688.2013.769689

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().