Jumps and volatility dynamics in agricultural commodity spot prices
Raphael Homayoun Boroumand
- Fonction : Auteur
Stéphane Goutte
- Fonction : Auteur
- PersonId : 910659
Simon Porcher
- Fonction : Auteur
- PersonId : 172103
- IdHAL : simon-porcher
- ORCID : 0000-0001-6614-0338
Résumé
The spot commodities market exhibits both extreme volatility and price spikes, which lead to heavy-tailed distributions of price change and autocorrelation. This article uses various Lévy jump models to capture these features in a panel of agricultural commodities observed between January 1990 and February 2014. The results show that Levy jump models outperform the continuous Gaussian model. Our results prove that assuming a constant volatility or even a deterministic volatility and drift structure of agricultural commodity spot prices is not realistic and is less efficient than the stochastic assumption. The findings demonstrate an interesting correlation between volatility and jumps for a given commodity i, but no relationship between the volatility of commodity i and the probability of jumps of commodity j.
Domaines
Gestion et managementFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Résumé |
en
The spot commodities market exhibits both extreme volatility and price spikes, which lead to heavy-tailed distributions of price change and autocorrelation. This article uses various Lévy jump models to capture these features in a panel of agricultural commodities observed between January 1990 and February 2014. The results show that Levy jump models outperform the continuous Gaussian model. Our results prove that assuming a constant volatility or even a deterministic volatility and drift structure of agricultural commodity spot prices is not realistic and is less efficient than the stochastic assumption. The findings demonstrate an interesting correlation between volatility and jumps for a given commodity i, but no relationship between the volatility of commodity i and the probability of jumps of commodity j.
|
Titre |
en
Jumps and volatility dynamics in agricultural commodity spot prices
|
Auteur(s) |
Raphael Homayoun Boroumand
, Stéphane Goutte
1
, Simon Porcher
2
, Thomas Porcher
3
1
LPMA -
Laboratoire de Probabilités et Modèles Aléatoires
( 102 )
- France
2
LAB IAE Paris - Sorbonne
( 1154480 )
- 8 bis, rue de la Croix Jarry, 75013, Paris
- France
3
CERC -
CERC - Centre d'Études et de Recherches Comparatistes - EA 172
( 110841 )
- Université Sorbonne Nouvelle
Maison de la Recherche
Bureau A213
4, rue des Irlandais
75005 PARIS
- France
|
Langue du document |
Anglais
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Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Revue du Wos |
Non précisé
|
Audience |
Internationale
|
État de l'article |
paru
|
Date de publication |
2017-01-06
|
Volume |
49
|
Numéro |
40
|
Page/Identifiant |
4035 - 4054
|
Domaine(s) |
|
DOI | 10.1080/00036846.2016.1273507 |
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