This paper examines the behavior of futures prices and trader positions around the occurrence of price limits in commodity futures markets. We ask whether limit events are the result of shocks to fundamental volatility or the result of temporary volatility induced by the trading of...

This paper investigates price jumps in commodity markets. We find that jumps are rare and extreme events but occur less frequently than in stock markets. Nonetheless, jump correlations across commodities can be high depending on the commodity sectors. Energy, metal and grains commodities show...

This paper shows that commodity portfolios that capture the backwardation and contango phases exhibit in-sample and out-of-sample predictive power for the first two moments of the distribution of long-horizon aggregate equity market returns, and for the business cycle. It also demonstrates that...

This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a forty year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values – estimated...

In this paper, we study jumps in commodity prices. Unlike assumed in existing models of commodity price dynamics, a simple analysis of the data reveals that the probability of tail events is not constant but depends on the time of the year, i.e. exhibits seasonality. We propose a stochastic...

Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply--resulting from bad...

Derivatives that manage commodity risk over multiple periods are not Sharīʿah-compliant. This study proposes a Sharīʿah-compliant swaption model (waʿd or promise on swap) for hedging commodity risk. The model combines two separate and independent waʿds (promises) on commodity swap through...

Purpose – This study investigates the lead-lag relations between the prices of major commodities imported into Korea and corresponding shipping freight rates. This paper aims to provide implications for cross-market causal relations between related economic segments. Design/Methodology - For...

From 1977 through April 2019, USDA published monthly season-average price (SAP) forecasts for key agricultural commodities in the form of intervals meant to indicate forecasters' uncertainty — but without attaching a confidence level. In May 2019, USDA eliminated the intervals and began...

Storage assets are critical for temporal trading of commodities under volatile prices. State-of-the-art methods for managing storage such as the reoptimization heuristic (RH), which are part of commercial software, approximate a Markov decision process (MDP) assuming full information regarding...