Factor Structure in Commodity Futures Return and Volatility
研究了金融化后期商品期货价格和波动的典型事实，发现日度商品波动中的共同因子远强于收益中的因子，该因子与股市波动和商业周期相关，且商品与股市的波动关联在2008-2010年后回落至危机前水平。
We uncover stylized facts of commodity futures’ price and volatility dynamics in the post-financialization period and find a factor structure in daily commodity volatility that is much stronger than the factor structure in returns. The common factor in commodity volatility relates to stock market volatility as well as to the business cycle. Model-free realized commodity betas with the stock market were high during 2008–2010 but have since returned to the pre-crisis level, close to 0. While commodity markets appear segmented from the equity market when considering only returns, commodity volatility indicates a nontrivial degree of market integration.