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Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH ApproachMatteo ManeraUniversity of Milan-Bicocca, Italy - Department of Economics, Quantitative Methods and Business Strategies (DEMS); Fondazione Eni Enrico Mattei (FEE), Milan, Italy Marcella NicoliniUniversity of Pavia - Department of Political Economy and Quantitative Methods; FEEM Fondazione Eni Enrico Mattei Ilaria VignatiFondazione Eni Enrico Mattei (FEEM) April 17, 2012 FEEM Working Paper No. 23.2012 Abstract: 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.
Number of Pages in PDF File: 53 Keywords: energy, commodities, futures markets, financial speculation, multivariate GARCH JEL Classification: C32, G13, Q11, Q43 working papers seriesDate posted: April 17, 2012Suggested CitationContact Information
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