What drives commodity returns? Market, sector or idiosyncratic factors?

What drives commodity returns? Market, sector or idiosyncratic factors?

This paper examines the relationship between 43 commodity returns using a dynamic factor model with time varying stochastic volatility. The dynamic factor model decomposes each commodity return into a common (market ), sector -specific and commodity-specific component. It enables the variance attrib...

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Bibliographic Details
Main Authors: J. Ma, Andrew Vivian, Mark E. Wohar
Format: Default Article
Published: 2019
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Other economics not elsewhere classified
Dynamic factor model
Commodity markets
Common variation
Financialization
Economics
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/38159
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https://hdl.handle.net/2134/38159

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