Abstract:Abstract:We evaluate the recent levels of heterogeneity and cross-market integration for fluctuations in commodity futures returns for a post-financialcrisis data sample. We find that a single commodity-market risk factor explains 30.6% of the total variation in commodity futures returns. The commodity-market risk factor is significantly correlated with the dominant market-wide risk factors from other asset classes: +66.7% with a market risk factor for the US equity market; -74.2% with a US dollar risk factor … Show more
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