Die vorliegende Dissertation umfasst vier Aufsätze, die die Rohstoffterminmärkte untersuchen. Die Schwerpunkte der Studien liegen in den folgenden Bereichen: Volatilitätsmuster und Forecasting, Interdependenz von Rohstofftermin- und Aktienmärkten, Einfluss von Sentiment auf die Rendite von...

This paper finds substantial risk diversification potential between certain commodity groups and stocks by exploring the dependence between their patterns of regime switching. None of the commodity groups share a common volatility regime with stocks, nor are the regime switching patterns of...

We identify a strong presence of sentiment exposure in commodity futures returns. Sentiment is able to provide additional explanatory power for comovement among commodity futures beyond the macro- and equity-related sources. Commodity futures with low open interest growth, high volatilities, low...

The detrended implied volatility of commodity options (VOL) forecasts the cross section of the commodity futures returns significantly. A zero-cost strategy that is long in low VOL and short in high VOL commodities yields an annualized return of 12.66% and a Sharpe ratio of 0.69. Notably, the...