Commodity tail risks
Journal
Journal of Futures Markets
ISSN
0270-7314
Type
journal article
Date Issued
2022-10-02
Author(s)
Abstract
In this study, we investigate the cross‐section of option‐implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risks implied by option markets are both large. Commodity‐specific variables exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that are linked to tail risk. Additionally, we find strong links to the equity markets, but also comovements to macroeconomic factors. Left or right tail risks are largely independent of variance risk premiums. Finally, both left and right tail risks are priced in the cross‐section of commodity futures returns.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Wiley
Volume
43
Number
2
Start page
168
End page
197
Official URL
Subject(s)