By the same authors

The Return–Volatility Relation in Commodity Futures Markets

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Author(s)

  • Carl Chiarella
  • Boda Kang
  • Christina Sklibosios Nikitopoulos
  • Thuy-Duong Tô

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Publication details

JournalThe Journal of Futures Markets
DateAccepted/In press - 12 Jan 2015
DateE-pub ahead of print - 12 Mar 2015
DatePublished (current) - 5 Jan 2016
Issue number2
Volume36
Number of pages26
Pages (from-to)127-152
Early online date12/03/15
Original languageEnglish

Abstract

By employing a continuous time multi-factor stochastic volatility model, the dynamic relation between returns and volatility in the commodity futures markets is analyzed. The model is estimated by using an extensive database of gold and crude oil futures and futures options. A positive relation in the gold futures market and a negative relation in the crude oil futures market subsist, especially over periods of high volatility principally driven by market-wide shocks. The opposite relation holds over quiet periods typically driven by commodity-specific effects. According to the proposed convenience yield effect, normal (inverted) commodity futures markets entail a negative (positive) relation.

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© 2015, Wiley.This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details

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