Volatility spillovers in commodity markets: A large t-vector autoregressive approach
研究了能源、农业和生物燃料大宗商品间的波动溢出效应，提出t-lasso方法估计大向量自回归模型，发现能源与生物燃料、能源与农产品间存在波动溢出。
Prices of commodities have shown large fluctuations. A high volatility of one commodity today may impact the volatility of another commodity tomorrow. As such, agricultural and energy commodities are closely dependent due to the expansion of the biofuel industry. We study volatility spillovers among a large number of energy, agriculture and biofuel commodities using the vector auto regressive (VAR) model. To account for the possible fat-tailed distribution of the model errors, we propose the t-lasso method for obtaining a large VAR. The t-lasso is shown to have excellent properties, and a forecast analysis shows that the t-lasso attains better forecast accuracy than standard estimators. Our empirical analysis shows the existence of volatility spillovers between energy and biofuel, and between energy and agricultural commodities.