Co-Jump Dependency and Transmission Across US Commodity Futures: A Network Analysis

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.