Risky times : seasonality and event risk of commodities

Boos, Dominik

doi:10.1002/fut.22492

Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-30079

Publication type:	Article in scientific journal
Type of review:	Peer review (publication)
Title:	Risky times : seasonality and event risk of commodities
Authors:	Boos, Dominik
et. al:	No
DOI:	10.1002/fut.22492 10.21256/zhaw-30079
Published in:	The Journal of Futures Markets
Issue Date:	18-Feb-2024
Publisher / Ed. Institution:	Wiley
ISSN:	0270-7314 1096-9934
Language:	English
Subjects:	ARCH; Commodity; Event risk; Ridge regression; Seasonality
Subject (DDC):	338: Production
Abstract:	The seasonal risk of wheat, corn, and soybean is modeled by a novel seasonality filter based on a generalized ridge regression. Then, using a component GARCH model, seasonal risk is combined with event risk and a short-term risk dynamics. The resulting model is robust, generates seasonal patterns related to the crop cycle, and significantly outperforms the standard GARCH(1,1) in terms of out-of-sample risk prediction. Results are relevant for risk management and portfolio construction.
URI:	https://digitalcollection.zhaw.ch/handle/11475/30079
Fulltext version:	Published version
License (according to publishing contract):	CC BY 4.0: Attribution 4.0 International
Departement:	School of Management and Law
Organisational Unit:	Institute of Wealth & Asset Management (IWA)
Appears in collections:	Publikationen School of Management and Law

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Boos, D. (2024). Risky times : seasonality and event risk of commodities. The Journal of Futures Markets. https://doi.org/10.1002/fut.22492

Boos, D. (2024) ‘Risky times : seasonality and event risk of commodities’, The Journal of Futures Markets [Preprint]. Available at: https://doi.org/10.1002/fut.22492.

D. Boos, “Risky times : seasonality and event risk of commodities,” The Journal of Futures Markets, Feb. 2024, doi: 10.1002/fut.22492.

BOOS, Dominik, 2024. Risky times : seasonality and event risk of commodities. The Journal of Futures Markets. 18 Februar 2024. DOI 10.1002/fut.22492

Boos, Dominik. 2024. “Risky Times : Seasonality and Event Risk of Commodities.” The Journal of Futures Markets, February. https://doi.org/10.1002/fut.22492.

Boos, Dominik. “Risky Times : Seasonality and Event Risk of Commodities.” The Journal of Futures Markets, Feb. 2024, https://doi.org/10.1002/fut.22492.