The Economics of Commodity Markets

List of Figures

1.1     Tent-shaped regression for agriculture products

1.2     Tent-shaped regression for energy products

1.3     Tent-shaped regression for industrial metals

1.4     Tent-shaped regression for precious metals

1.5     Number of regimes in commodities

1.6     Sorted average persistence of regimes across assets

1.7     Time series of regimes in GSCI Agriculture

1.8     Time series of regimes in GSCI Energy

1.9     Time series of regimes in GSCI Industrial Metals

1.10    Time series of regimes in GSCI Precious Metals

1.11    Time series of regimes in S&P 500

1.12    Time series of regimes in US 10Y rates

1.13    Sorted Sharpe ratios for the time series momentum strategy

1.14    Sorted Sharpe ratios for the breakout strategy

1.15    Volatility signature plots for commodity sectors

1.16    Logarithm of the conditional distributions across commodity sectors

1.17    Estimated θ across commodities

1.18    Estimated jumps for the S&P 500, the US Dollar and the US 10Y rate. Jumps are marked by black dots

1.19    Estimated jumps for the GSCI indices. Jumps are marked by black dots

2.1     Factor loading bar plots for the first four factors of the commodities dataset

2.2     Factor loading bar plots for the fifth factor of the commodities dataset

2.3     Factor identification – global macro data (Factors 1–3)

2.4     Factor identification – global macro data (Factors 4–5)

2.5     Factor identification – global macro data (Factors 6–7)

2.6     Diebold and Yilmaz's (2012) ...