Journal
JOURNAL OF FUTURES MARKETS
Volume 43, Issue 6, Pages 705-733Publisher
WILEY
DOI: 10.1002/fut.22407
Keywords
contemporaneous network; higher-moment risk; idiosyncratic information; realized estimators; relative importance analysis
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This paper proposes a new network topology approach to identify the contemporaneous and noncontemporaneous idiosyncratic spillovers of lower-moment and higher-moment risks in commodity futures markets using high-frequency data. The results suggest that contemporaneous information is more important in constructing the networks, especially for higher-moment risk spillover networks. Different commodities play different roles in the networks, with gold, silver, and wheat being the main transmitters of volatility and kurtosis risks, and corn and silver being the main transmitters of skewness spillovers. Crisis events can amplify the idiosyncratic volatility spillovers in commodity markets and the total spillover effects of higher-moment risk are stronger than those of lower-moment risk.
This paper proposes a new network topology approach to identify the contemporaneous and noncontemporaneous idiosyncratic spillovers of lower-moment and higher-moment risks in commodity futures markets using high-frequency data. Our results show that contemporaneous information has more explanatory power in constructing a network than noncontemporaneous information, especially for higher-moment risk spillover networks. In contemporaneous spillover networks, the role of one commodity future and the structure of the networks vary across different realized estimators. Specifically, gold, silver, and wheat are the main volatility and kurtosis risk transmitters, while corn and silver are the main skewness spillover transmitters. Agricultural futures markets are relatively closed in the volatility and kurtosis risk spillover networks, while in the skewness network, they become closer to precious metal futures. Furthermore, crisis events can enlarge the idiosyncratic volatility spillovers in commodity markets. The total spillover effects of higher-moment risk are stronger than those of lower-moment risk.
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