全球智库信息集成服务系统(G2TT): Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach

G2TT

来源类型	FEEM working papers "Note di lavoro" series
规范类型	论文
	Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach
	Matteo Manera; Marcella Nicolini; Ilaria Vignati
发表日期	2012
出处	Energy: Resources and Markets
出版年	2012
语种	英语
摘要	This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying. *** Suggested citation: Matteo Manera, Marcella Nicolini, and Ilaria Vignati, Financial Speculation in Energy and Agriculture Futures Markets: A Multivariate GARCH Approach, The Quarterly Journal of the IAEE's Energy Economics Education Foundation, Volume 34, Number 3 http://dx.doi.org/10.5547/01956574.34.3.4
特色分类	C32;G13;Q11;Q43
关键词	Energy Commodities Futures Markets Financial Speculation Multivariate GARCH
URL	https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/returns-in-commodities-futures-markets-and-financial-speculation-a-multivariate-garch-approach/
来源智库	Fondazione Eni Enrico Mattei (Italy)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/118058
推荐引用方式 GB/T 7714	Matteo Manera,Marcella Nicolini,Ilaria Vignati. Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach. 2012.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
2012461543531Nota_di（71KB）	智库出版物		限制开放	CC BY-NC-SA	浏览
2012461544534NDL2012（682KB）	智库出版物		限制开放	CC BY-NC-SA	浏览