Acronyms
| ADF | Augmented-Dickey–Fuller Unit Root Test |
| API | Argus/McCloskey’s Price Index for Coal |
| CAPM | Capital Asset Pricing Model |
| CCAPM | Consumption Capital Asset Pricing Model |
| CBOT | Chicago Board of Trade |
| CCI | Consumer Confidence Index |
| CME | Chicago Mercantile Exchange |
| COMEX | Commodity Exchange |
| CPI | Consumer Price Index |
| CRB | Commodities Research Bureau Index |
| CRBRI | Commodities Research Bureau Raw Industrials Index |
| CSCE | New York’s Coffee, Sugar, and Cocoa Exchange |
| CTA | Commodity Trading Advisor |
| DCC | Dynamic Conditional Correlation Multivariate GARCH Model |
| ECB | European Central Bank |
| ECM | Error Correction Model |
| ECT | Error Correction Term |
| EGARCH | Exponential GARCH |
| EGARCH MN | Exponential GARCH with a mixture of normal distributions |
| EM | Expectation-Minimization algorithm |
| EMU | European Monetary Union |
| EVT | Extreme Value Theory |
| FAVAR | Factor-Augmented VAR |
| Fed | US Federal Reserve |
| Fox | London’s Future and Options Exchange |
| FX | Foreign Exchange Markets |
| GARCH | Generalized AutoRegressive Conditional Heteroskedasticity |
| GDP | Gross Domestic Product |
| GH | Generalized Hyperbolic Distribution |
| GSCI | Goldman Sachs Commodity Index |
| HAC | Newey–West Heteroskedasticity and Autocorrelation Consistent Estimator |
| HH | US Henry Hub Natural Gas Price |
| HSFO | High Sulfur Fuel Oil |
| ICE | InterContinental Exchange |
| IFO | Munich Society for the Promotion of Economic Research |
| IMF | International Monetary Fund |
| IPE | International Petroleum Exchange |
| ISM | Institute for Supply Management |
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