The past decade has seen a sharp increase in the level and volatility of commodity prices (Graph 1). This has occurred alongside a sharp increase in commodity demand from emerging market economies, but also in parallel with a rapid increase in both commodity derivatives trading and financial investor activity in commodity markets (Domanski and Heath 2007; Dwyer, Gardner and Williams 2011). That...

 Commodity markets: overview, description and structure  Commodity spot price models, their performance and calibration  Forward curve modeling for commodities  Modeling commodity price volatility  Correlations/dependencies in commodity portfolios  Modeling risk of a commodity portfolio  Typical commodity derivatives (quanto, Asian, spread and basket options, volumetric and swing options...

Directed Acyclic Graphs (DAG's) and Error Correction Models (ECM's) are employed to analyze questions of price discovery between spatially separated commodity markets and the transportation market linking them together. Results from our analysis suggest these markets are highly interconnected but it is the inland commodity market that is strongly influenced by both the transportation and commod...

A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets. Such financialization of commodities coincided with significant booms and busts in commodity markets, raising concerns of policymakers. In this paper, we explore the effects of financialization in a model that features institut...

T his paper ascertains the extent of mispricing in equity portfolios, mispricing-divestment relation, and the role of African equities as risk diversification strategies during commodity market turbulence. Following Baur and Lucey (2010), one identifies an arbitrary commodity market crisis to be 1%, 5%, and 10% declining moments in returns. However, their approach is extended by usin...

The authors found that, concurrent with the rapidly growing index investment in commodity markets since the early 2000s, prices of non-energy commodity futures in the United States have become increasingly correlated with oil prices; this trend has been significantly more pronounced for commodities in two popular commodity indices. This finding reflects the financialization of the commodity mar...