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英文文献：Factor Structure in Commodity Futures Return and Volatility-商品期货收益与波动的因素结构
英文文献作者：Peter Christoffersen,Asger Lunde,Kasper V. Olesen
英文文献摘要：
Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration with the equity market. We find evidence of a factor structure in daily commodity futures returns. However, the factor structure in daily commodity futures volatility is even stronger than in returns. When computing model-free realized commodity betas with the stock market we find that they were high during 2008-2010 but have since returned to the pre-crisis level close to zero. The common factor in commodity volatility is nevertheless clearly related to stock market volatility. We conclude that, while commodity markets appear to again be segmented from the equity market when only returns are considered, commodity volatility indicates a nontrivial degree of market integration.
利用2004-2013年超过7.5亿的期货交易数据，我们分析了后金融化时期商品价格和波动动态的8个程式化事实。我们特别关注回报和波动性的因素结构，以及商品市场与股票市场的整合。我们在每日商品期货收益中发现了一个因素结构的证据。然而，因素结构在每日商品期货波动率甚至比回报更强。当无模型计算实现了对股票市场的大宗商品测试时，我们发现它们在2008-2010年处于高位，但此后又回到了危机前的接近于零的水平。然而，商品波动的共同因素与股票市场波动明显相关。我们的结论是，当只考虑回报时，商品市场似乎再次从股票市场中分离出来，商品的波动表明了一个非微不足道的程度的市场整合。
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