Seasonal Stochastic Volatility and Correlation Together with the Samuelson Effect in Commodity Futures Markets
نویسندگان
چکیده
منابع مشابه
Correlation in Volatility Among Related Commodity Markets
Related commodity markets have two characteristics: (i) they may follow similar volatility processes; and (ii) such markets are frequently represented by a market aggregate or index. Indices are used to represent the performance and time series properties of a group of markets. An important issue regarding the time series properties of an index is how it reflects the time series properties of i...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2620584