Partially Overlapping Time Series: A New Model for Volatility Dynamics in Commodity Futures
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The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research. ABSTRACT We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in th...
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تاریخ انتشار 2004