Oil Volatility-of-Volatility and Tail Risk of Commodities

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aut.relation.endpage236
aut.relation.journalApplied Finance Letters
aut.relation.startpage223
aut.relation.volume13
dc.contributor.authorXu, Yahua
dc.contributor.authorTourani-Rad, Alireza
dc.contributor.authorRoh, Tai-Yong
dc.date.accessioned2024-10-15T01:01:11Z
dc.date.available2024-10-15T01:01:11Z
dc.date.issued2024-10-08
dc.description.abstractWe examine the information content of oil volatility-of-volatility (VOV), constructed from the past 1-month OVX (implied volatility in crude oil market), on the expected tail risk of commodities. Specifically, we find oil VOV predicts 1-step-ahead tail risks of Energy, Precious Metals, Agriculture, Livestock sectors and the Aggregate Commodity sector (GSCI) for both in-sample and out-of-sample. Our results indicate the important role of crude oil in overall commodity markets by incorporating forward-looking information of OVX. Our findings are robust and complement the strand of literature about the leading role of crude oil in commodity markets.
dc.identifier.citationApplied Finance Letters, ISSN: 2253-5799 (Print); 2253-5802 (Online), Auckland University of Technology (AUT) Library, 13, 223-236. doi: 10.24135/afl.v13i.809
dc.identifier.doi10.24135/afl.v13i.809
dc.identifier.issn2253-5799
dc.identifier.issn2253-5802
dc.identifier.urihttp://hdl.handle.net/10292/18132
dc.publisherAuckland Centre for Financial Research.
dc.relation.urihttps://ojs.aut.ac.nz/applied-finance-letters/article/view/809
dc.rightsCopyright (c) 2024 Yahua Xu, Alireza Tourani-Rad, Tai-Yong Roh. Creative Commons License. This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
dc.rights.accessrightsOpenAccess
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject1502 Banking, Finance and Investment
dc.subject3502 Banking, finance and investment
dc.titleOil Volatility-of-Volatility and Tail Risk of Commodities
dc.typeJournal Article
pubs.elements-id571350
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