Volatility connectedness of commodity futures and its application in portfolio optimization

DOI10.1080/14697688.2025.2503284MaRDI QIDQ6885055zbMATH OpenFDO

Authors Ruolan Ouyang

Publication date 12 December 2025

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2025.2503284

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A reduced form framework for modeling volatility of speculative prices based on realized variation measures
• Cluster analysis for portfolio optimization
• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
• Connectedness versus diversification: two sides of the same coin
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
• Jump-robust volatility estimation using nearest neighbor truncation
• Large time-varying parameter VARs
• New tests for jumps in semimartingale models
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Threshold bipower variation and the impact of jumps on volatility forecasting
• Vast portfolio selection with gross-exposure constraints

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