The Dynamics of Commodity Prices
Chris Brooks and
Marcel Prokopczuk ()
ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading
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 to 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. Risk measurement and options pricing and hedging applications exemplify the economic impacts of the differences across commodities and between model specifications.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.icmacentre.ac.uk/files/discussion-papers/DP2011-09.pdf [302 Found]--> https://www.icmacentre.ac.uk/files/discussion-papers/DP2011-09.pdf)
Journal Article: The dynamics of commodity prices (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rdg:icmadp:icma-dp2011-09
Access Statistics for this paper
More papers in ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading Contact information at EDIRC.
Bibliographic data for series maintained by Marie Pearson ().