City Research Online

Volatility and Correlation Timing: The Role of Commodities

Pouliasis, P. K. ORCID: 0000-0002-7389-3722 & Papapostolou, N. C. ORCID: 0000-0003-4529-1182 (2018). Volatility and Correlation Timing: The Role of Commodities. Journal of Futures Markets, doi: 10.1002/fut.21939


This paper examines the role of commodit ies from the perspective of dynamic asset allocation. W e model conditional second moments of st ock, bond and commodity futures and examine their impact on the portfolio choice decision of a risk-averse investor in a mean-variance framework . Findings suggest that adding commodities in the opportunity set enhances portfolio risk-return characteristics and offers diversification benefits. Moreover, there is substantial economic value in both volatility and correlation timing strategies. Results are robust across various sub-periods and rebalancing strategies , alternative correlation dynamic s specifications, short-sale constraints and transaction costs under both in-and out-of-sample settings.

Publication Type: Article
Additional Information: This is the peer reviewed version of the following article: Pouliasis PK, Papapostolou NC. Volatility and correlation timing: The role of commodities. J Futures Markets. 2018;1–33, which is published in final form at This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
Publisher Keywords: Asset Allocation; Commodities; Volatility Timing; Correlation Timing; Multivariate GARCH
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
Text - Accepted Version
Download (1MB) | Preview



Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login