Co‐Jump Dependency and Transmission Across US Commodity Futures: A Network Analysis
研究了20种美国商品期货收益率的共同跳跃行为，发现跳跃依赖存在异质性且随时间变化，黄金影响最强，能源组在危机时期中心性最高，且网络中心性可预测美股波动。
ABSTRACT This paper examines the co‐jump transmission in 20 commodity futures returns in the United States using co‐jump network models. Specifically, it reveals co‐jumping behavior in both static and time‐varying settings, considering the overall commodity markets and various commodity groups separately, which helps us understand the dynamic changes in co‐jump dependencies at the overall and sector levels. The main results reveal that co‐jump heterogeneity exists among commodities but is generally more apparent within each commodity group, and co‐jumps vary over time. Gold exerts the strongest influence, with many commodity futures being influenced by the jumps behavior in gold returns. During the COVID‐19 outbreak and the Russia–Ukraine war, the energy group ranks highest in terms of co‐jump network centrality. Our empirical analysis highlights the portfolio performance and risk reduction, and an additional examination shows that centrality information from the co‐jump network contains a highly and statistically forecasting power for US stock market volatility.