This paper examines the dynamic relationships between speculative activities, commodity returns, and macroeconomic conditions across five sectors compassing 29 commodities. Using weekly data spanning from January 2000 to July 2023, we construct compr...
This paper analyzes the return performance of various commodity futures-based dynamic portfolios over the period from 31 January 1986 to 31 July 2023. By constructing 30 distinct portfolios categorized by style and performance, we assess their potent...
Global commodity markets, due to major health crises, political tension, sanctions, growing demand, and other global supply and demand factors, are currently particularly unstable. In addition to the macro-environmental factors that drive the prices,...
Motivated by increased agricultural commodity price volatility and surges during the past decade, we investigated whether financial speculation is to blame. The aim of this paper is to build on prior research about to what extent and in which ways fi...
In this paper, we conduct a thorough investigation of the predictive ability of forward and backward stepwise regressions and hidden Markov models for the futures returns of several commodities. The predictive performance relative a standard AR(1) be...
This study measures the connectedness of natural gas and electricity spot returns to their futures returns with different maturities. We employ the Henry Hub and the Pennsylvania, New Jersey, and Maryland (PJM) Western Hub Peak as the natural gas pri...
This paper investigates the heterogeneous dependence between global crude oil futures and China’s biofuel feedstock commodities under different market conditions. Quantile-on-quantile regression and the causality-in-quantiles test are employed...
This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of...
This study analyses the impact of the Geopolitical Risk Index (GPR) on the volatility of commodity futures returns from 4 January 2010 to 30 June 2023, using Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) models. It ex...
This paper explores the hypothesis that the returns of asset classes can be predicted using common, systematic risk factors represented by the level, slope, and curvature of the US interest rate term structure. These are extracted using the Nelson&nd...
The dynamic development of commodity derivatives markets has been observed since the mid-2000s. It is related to the development of e-commerce, the inflow of financial investors’ capital, and the emergence of exchange-traded funds and passively...
Navigating the complexity of petroleum futures markets—marked by extreme volatility, geopolitical uncertainty, and macroeconomic shocks—demands adaptive and risk-sensitive strategies. This paper explores an Adaptive Risk-sensitive Transfo...
Cryptocurrencies such as Bitcoin can be classified as commodities under the Commodity Exchange Act (CEA), giving the Commodity Futures Trading Commission (CFTC) jurisdiction over those cryptocurrencies deemed commodities, particularly in the context...
The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil, natural gas, gold and corn for the period 2007–2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of...
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This paper aims to apply the time-varying Granger causality test (TVGC) and the DY Spillover Index (Diebold and Yilmaz, 2012) to measure the Granger causality and dynamic risk spillover effects of the international crude oil futures market on China&r...
This study analyses a series of live cattle spot and futures prices from the Boi Gordo Index (BGI) in Brazil. The objective is to develop a model that best portrays this commodity’s behaviour to estimate futures prices more accurately. The data...
In the turbulent landscape of financial markets, Bitcoin has emerged as a significant focus for investors due to its highly volatile returns. However, the risks and uncertainties associated with it necessitate effective hedging strategies. This paper...
This study, set against the backdrop of escalating trade tensions between China and the United States, examines the impact of soybean tariff adjustments on the abnormal asymmetric behavior in the futures market. By employing specialized analytical me...
This paper presents trend prediction results based on backtesting of the European Union Emissions Trading Scheme futures market. This is based on the Intercontinental Exchange from 2005 to 2019. An alternative trend prediction strategy is taken that...
This research is the first attempt to create machine learning (ML) algorithmic systems that would be able to automatically trade precious metals. The algorithm uses three forecast methodologies: linear regression (LR), Darvas boxes (DB), and Bollinge...
This study examines the price impact of intraday trading activity and daily market liquidity of Chinese agricultural futures by analyzing continuous intraday 15-min and daily trading datasets, respectively. Corn and soybean, the necessity of the nati...
Macadamia is an essential commodity crop in Malawi. The nuts are a lucrative commodity and are used for household consumption, income generation among farming families and as a foreign exchange earning crop at country-level. Macadamia production in M...
The prediction of agricultural commodity futures returns is crucial for understanding global economic trends, alleviating inflationary pressures, and optimizing investment portfolios. However, current research that uses full-sample decomposition to p...
The aim of this paper is to analyse Bitcoin in order to shed some light on its nature and behaviour. We select 9 cryptocurrencies that account for almost 75% of total market capitalisation and compare their evolution with that of a wide variety of tr...
We compare the forecasting performance of the generalized autoregressive conditional heteroscedasticity (GARCH) -type models with support vector regression (SVR) for futures contracts of selected energy commodities: Crude oil, natural gas, heating oi...
The purposes of the research have evidenced the spillover effects of oil-related factors in the oil market and the leading indexes of petrochemical commodities and the bulk shipping markets. The research gap was fitted and explored the effects associ...
The systematic failure of standard Value-at-Risk (VaR) models for the Tokyo Commodity Exchange (TOCOM) rubber futures contract poses significant challenges for risk management. This study addresses the issue by examining the market’s split trading se...
The aim of this study is to enhance the understanding of volatility dynamics in commodity returns, such as gold and cocoa, as well as the financial market index S&P500. It provides a comprehensive overview of each model’s efficacy in captur...
This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics, the in...
This paper investigates the short-term predictability of daily crude oil price movements by employing a multi-method analytical framework that incorporates both econometric and machine learning techniques. Utilizing a dataset of 21 financial and comm...
This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is...
This paper aims to contribute to the development of valuation models for long-term investments while keeping an eye on market prices. The adopted methodology is rooted on the existence of markets for futures and options on commodities related to ener...
We translate between biophysical and economic metrics that characterize the role of energy in the economy. Specifically, using data from the International Energy Agency, we estimate the energy intensity ratio (EIR), a price-based proxy for a power re...
Considering market-based inflation expectations, we show that investors’ forecasts are non-linear. We capture this non-linear behavior with a Markov-switching model that allows us to identify a regime of high uncertainty, and a regime of low un...
COVID-19 has significantly affected the financial and commodity markets. The purpose of this investigation is to understand the impact of the COVID-19 crisis on Dow Jones and West Texas Intermediate (WTI) oil returns in relation to other crises using...
Grain is a commodity related to the livelihood of the nation’s people, and the volatility of its futures price affects risk management, investment decisions, and policy making. Therefore, it is very necessary to establish an accurate and effici...
Palm oil is a valuable crop. This relates to the high economic return from sales of the commodity, where Indonesia is the major producer in the world and the island of Sumatra is the most important region for palm oil production in the country. The i...
The oil and gas sector operates in a high-risk environment defined by capital intensity, regulatory uncertainty, and volatile commodity prices. Although Artificial Intelligence (AI) is widely promoted as a lever for profitability, the mechanisms thro...
Prior to the commissioning of a new industrial biorefinery it is deemed necessary to evaluate if the new project will be beneficial or detrimental to climate change, one of the main drivers for the sustainable development goals (SDG) of the United Na...
Time series prediction has been widely applied to the finance industry in applications such as stock market price and commodity price forecasting. Machine learning methods have been widely used in financial time series prediction in recent years. How...
Atlantic bluefin tuna (Thunnus thynnus) is the most important tuna species in Mediterranean tuna fishery and a valuable commodity on the global fish market. Croatia is a pioneer in tuna farming in the Mediterranean and the only country that has the e...