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- W3124747581 abstract "In this paper, we give a broad overview of how commodity-related news affects several aspects of commodity markets. We examine the main commodity classes: energy, agriculturals and metals, as well as market responses to news: in terms of prices, returns, volatilities and fine features of prices, such as price jumps. Market responses are analysed for different latencies, ranging from minutes to days and longer horizons. We discuss how these insights can be used in trading strategies, investment decisions and risk management. In particular, we address the following questions: What are the distinguishing features of commodity-related news? How commodity prices react to positive and negative sentiment in news? How we can combine news signals from several commodity markets into an overall commodity news index? What are the relationships of such a news index with wellknown commodity price indices? Can we improve volatility forecasts by including news variables in volatility models? Which characteristics of commodity price movements – volatility, positive and negative jumps – cause and are caused by news?" @default.
- W3124747581 created "2021-02-01" @default.
- W3124747581 creator A5029715787 @default.
- W3124747581 date "2016-01-01" @default.
- W3124747581 modified "2023-09-25" @default.
- W3124747581 title "The Role of News in Commodity Markets" @default.
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- W3124747581 hasPublicationYear "2016" @default.
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