Jumps in the price process of assets represent a sort of tail risk and are found to affect many aspects of asset pricing, volatility modelling and asset allocation. In this paper, we detect price jumps in the realised volatility series of a wide set of commodity futures and find evidence of jumpy behaviour, especially in energy and agricultural commodities. We examine whether the realised volatilities of commodity futures jump together and find evidence that cojumping is significant and generally clustered within the commodity groups, suggesting some sort of segmentation regarding the tail risk behaviour across energy, agricultural and metals commodities. Additional analysis shows that price jumps and macroeconomic news surprises tend to occur together in specific commodities such as crude oil, which confirms earlier findings about the sensitivity of crude oil to news about the economy.

中文翻译：

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能源和非能源商品跃升

资产价格过程中的跳跃代表着一种尾部风险，并且被发现会影响资产定价，波动率建模和资产分配的许多方面。在本文中，我们检测了一系列大宗商品期货的已实现波动率系列中的价格跳跃，并找到了跳跃行为的证据，尤其是在能源和农业商品中。我们研究了商品期货的已实现波动性是否同时跳跃，并发现证据表明共同跳动是显着的并且通常聚集在商品组内，这表明在能源，农业和金属商品的尾部风险行为方面存在某种细分。进一步的分析表明，特定商品（例如原油，