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- W3204752178 abstract "Abstract This study examines the volatility connectedness of commodity futures markets by decomposing connectedness at high, medium, and low frequencies using a LASSO‐VAR model. The total volatility connectedness across commodities is substantial and fluctuates within the range of 30%–60%, which is largely driven by low‐frequency volatility connectedness. Energy futures as a group and crude oil and soybeans as individual commodities play dominant roles as net senders of volatility shocks in the system of 25 commodities. Commodity volatility spillovers at medium and particularly low frequency account for over 40% of the total volatility connectedness, which can be significantly explained by economic factors related to broad economic conditions; however, this is not the case at high frequency. This finding implies that the effect of the financialization of commodities might be more limited than previously assumed." @default.
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- W3204752178 date "2021-09-27" @default.
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- W3204752178 title "Volatility spillovers in commodity futures markets: A network approach" @default.
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- W3204752178 doi "https://doi.org/10.1002/fut.22270" @default.
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