Macro factors and the realized volatility of commodities: A dynamic network analysis
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DOI: 10.1016/j.resourpol.2020.101813
Abstract: Abstract This paper explores the relationship between macro-factors and the realized volatility of commodity futures. Three main commodities—soybeans, gold and crude oil—are investigated using high-frequency data. For macro factors, we select six indicators including economic… read more here.
Keywords: macro factors; realized volatility; volatility; volatility commodities ... See more keywords