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Factor structure in commodity futures return and volatility

Christoffersen, Peter F.; Lunde, Asger; Olesen, Kasper V. - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 3, pp. 1083-1115

Persistent link: https://www.econbiz.de/10012139386

Factor Structure in Commodity Futures Return and Volatility

Christoffersen, Peter F. - 2017

We uncover stylized facts of commodity futures price and volatility dynamics in the post-financialization period and find a factor structure in daily commodity volatility that is much stronger than the factor structure in returns. The common factor in commodity volatility relates to stock market...

Persistent link: https://www.econbiz.de/10012972752

Modeling and forecasting the volatility of energy forward returns : evidence from the Nordic power exchange

Lunde, Asger; Olesen, Kasper V. - 2013

Persistent link: https://www.econbiz.de/10009751838

How relevant is volatility forecasting for financial risk management?

Christoffersen, Peter F.; Diebold, Francis X. - In: The review of economics and statistics 82 (2000) 1, pp. 12-22

Persistent link: https://www.econbiz.de/10001456328

How relevant is volatility forecasting for financial risk

Christoffersen, Peter F.; Diebold, Francis X. - 1999

Persistent link: https://www.econbiz.de/10001463947

How relevant is volatility forecasting for financial risk management?

Christoffersen, Peter F.; Diebold, Francis X. - 1998

Persistent link: https://www.econbiz.de/10001350963

Horizon problems and extreme events in financial risk management

Christoffersen, Peter F. - In: Economic policy review 4 (1998) 3, pp. 109-118

Persistent link: https://www.econbiz.de/10001338729

Financial asset returns, direction-of-change forecasting, and volatility dynamics

Christoffersen, Peter F.; Diebold, Francis X. - 2003

Persistent link: https://www.econbiz.de/10001806479

Volatility forecasting

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005

Persistent link: https://www.econbiz.de/10002685057

Volatility forecasting

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005

Persistent link: https://www.econbiz.de/10002636128

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