From 2008 to 2011, commodity markets experienced growing attention from the banking industry for various reasons: the summer 2008 oil price swing, the price surge in an ounce of gold, or sharp variations in agricultural prices. As a consequence, can we hypothesize the existence of a global...

This article investigates momentum strategies in commodity markets. Using a Markov-switching model and formal tests for the number of regimes in the data, we identify momentum trends for a variety of commodities, exchange rates, interest rates and equities. The data cover the period 1995--2012...

A shared belief in the financial industry is that markets are driven by two types of regimes: bull markets, characterized by high returns and low volatility, and bear markets, characterized by low returns coupled with high volatility. Modeling the dynamics of different asset classes (stocks,...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>This article provides a case-study of the cross-market linkages at stake between commodities, bonds, industrial production and inflation. We show that one cointegration relationship exists between these variables during 1993–2011 and by taking into account...</p>

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...

This article evaluates the impact of the 2006 compliance event on changes in investors' risk aversion on the European carbon market using the newly available option prices dataset. Thus, we aim at capturing the specific event that occurred on April 2007 as the European Commission disclosed the...

Purpose – The purpose of this paper is to contain an empirical application of the concept of “time series momentum” – as developed by Moskowitz et al. (2012) – to commodity markets with daily data during 1995-2012. Design/methodology/approach – The paper applies the new concept of...

This article assesses the cross-market linkages between commodities, stocks and bonds in a cointegration framework during 1993--2011.

This article investigates volatility spillovers in commodity markets by following the methodology pioneered in Diebold and Yilmaz (2012). By using a broad data set during 1995--2012, we address three key research questions: are there volatility spillovers within commodities? between standard...