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Jumps in Energy and Non-Energy Commodities


  • Elie Bouri

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

  • Rangan Gupta

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


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

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    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.

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    Realized volatility; energy and non-energy commodities; jumps; co-jumps; macroeconomic news;
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