IDEAS home Printed from
   My bibliography  Save this article

Twenty years of jumps in commodity markets


  • Julien Chevallier
  • Florian Ielpo


In this article, we provide statistical evidence around jumps affecting commodity returns. Using nearly 20 years of daily data, we use Laurent, Lecourt, and Palm's (2011) methodology to jump extraction, and discuss various aspects of the estimated jump activity. On average across various commodity markets, we find a high number of days for which returns exhibit the presence of jumps, consistently with the intuition that commodities are affected by large price fluctuations. We emphasize that the post-jump average return depends on the commodity sector considered (e.g. agriculture, energy, or metals). We also show evidence of a jump-to-volatility channel for commodities (similar to the effect usually found for equities). Finally, we diagnose around 40 dates during which commodity indices, stocks, bonds and currencies `co-jump', revealing a tail dependence between standard and alternative assets.

Suggested Citation

  • Julien Chevallier & Florian Ielpo, 2014. "Twenty years of jumps in commodity markets," International Review of Applied Economics, Taylor & Francis Journals, vol. 28(1), pages 64-82, January.
  • Handle: RePEc:taf:irapec:v:28:y:2014:i:1:p:64-82
    DOI: 10.1080/02692171.2013.826637

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    1. repec:dau:papers:123456789/6805 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)


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

    Cited by:

    1. Julien Chevallier & Stéphane Goutte, 2015. "Detecting jumps and regime switches in international stock markets returns," Applied Economics Letters, Taylor & Francis Journals, vol. 22(13), pages 1011-1019, September.
    2. repec:eee:pacfin:v:45:y:2017:i:c:p:186-210 is not listed on IDEAS
    3. Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019. "Jumps in commodity markets," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 55-70.
    4. repec:eee:eneeco:v:78:y:2019:i:c:p:615-628 is not listed on IDEAS
    5. Boako, Gideon & Alagidede, Paul, 2016. "Global commodities and African stocks: A ‘market of one?’," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 226-237.

    More about this item


    Access and download statistics


    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:taf:irapec:v:28:y:2014:i:1:p:64-82. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.