A dataset on tail risk of commodities markets

Document Type

Journal Article

Publisher

Elsevier Inc

School

School of Business and Law

RAS ID

27871

Comments

Powell, R. J., Vo, D. H., Pham, T. N., & Singh, A. K. (2017). A dataset on tail risk of commodities markets. Data in Brief 15, 58-62. doi:10.1016/j.dib.2017.09.005

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Abstract

This article contains the datasets related to the research article “The long and short of commodity tails and their relationship to Asian equity markets”(Powell et al., 2017). The datasets contain the daily prices (and price movements) of 24 different commodities decomposed from the S&P GSCI index and the daily prices (and price movements) of three share market indices including World, Asia, and South East Asia for the period 2004–2015. Then, the dataset is divided into annual periods, showing the worst 5% of price movements for each year. The datasets are convenient to examine the tail risk of different commodities as measured by Conditional Value at Risk (CVaR) as well as their changes over periods. The datasets can also be used to investigate the association between commodity markets and share markets.

DOI

10.1016/j.dib.2017.09.005

Access Rights

free_to_read

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