Volatility spillovers in commodity futures markets: A network approach
使用LASSO-VAR模型将商品期货市场的波动关联性分解为高、中、低三个频率，发现总波动关联度在30%-60%之间，主要由低频驱动，且中低频波动溢出可被经济因素解释，暗示商品金融化影响可能有限。
Abstract This study examines the volatility connectedness of commodity futures markets by decomposing connectedness at high, medium, and low frequencies using a LASSO‐VAR model. The total volatility connectedness across commodities is substantial and fluctuates within the range of 30%–60%, which is largely driven by low‐frequency volatility connectedness. Energy futures as a group and crude oil and soybeans as individual commodities play dominant roles as net senders of volatility shocks in the system of 25 commodities. Commodity volatility spillovers at medium and particularly low frequency account for over 40% of the total volatility connectedness, which can be significantly explained by economic factors related to broad economic conditions; however, this is not the case at high frequency. This finding implies that the effect of the financialization of commodities might be more limited than previously assumed.