| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 963190 | Journal of International Financial Markets, Institutions and Money | 2012 | 28 Pages |
Abstract
⺠Comprehensive study of volatility in commodity spot market. ⺠Relatively few commodities have structural breaks in volatility during the recent financial crisis. ⺠Structural breaks in commodity volatility are more apparent prior to 2007. ⺠Most structural breaks are idiosyncratic rather than common across sectors or the market. ⺠Commodity volatility remains highly persistent even after adjusting for structural breaks.
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Authors
Andrew Vivian, Mark E. Wohar,