IDEAS home Printed from https://ideas.repec.org/p/pre/wpaper/202018.html
   My bibliography  Save this paper

Jumps in Energy and Non-Energy Commodities

Author

Listed:
  • Elie Bouri

    (USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, 0002, South Africa)

Abstract

Jumps in the price process of assets represent a sort of tail risk and are found to affect many aspects of asset pricing, volatility modelling, and asset allocation. In this paper, we detect price jumps in the realized volatility series of a wide set of commodity futures and find evidence of a jumpy behaviour, especially in energy and agricultural commodities. We examine whether the realized volatilities of commodity futures jump together and find evidence that co-jumping is significant and generally clustered within the commodity groups, suggesting some sort of segmentation regarding the tail risk behaviour across energy, agricultural, and metals commodities. Additional analysis shows that price jumps and macroeconomic news surprises tend to occur together in specific commodities such as crude oil, which confirms earlier findings about the sensitivity of crude oil to news about the economy.

Suggested Citation

  • Elie Bouri & Rangan Gupta, 2020. "Jumps in Energy and Non-Energy Commodities," Working Papers 202018, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:202018
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yaojie Zhang & Yudong Wang & Feng Ma & Yu Wei, 2022. "To jump or not to jump: momentum of jumps in crude oil price volatility prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.

    More about this item

    Keywords

    Realized volatility; energy and non-energy commodities; jumps; co-jumps; macroeconomic news;
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pre:wpaper:202018. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rangan Gupta (email available below). General contact details of provider: https://edirc.repec.org/data/decupza.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.